Open air intakes are a common modification on the SAAB 9-5. Removing the cold air box really releases the sound of the turbo. The one complaint people have about having an exposed filter is the threat of water soaking and possibly entering the air intake.
Many people fabricate splash guards to help prevent the bulk of puddles from spraying the air filter. I personally have been driving around with an exposed filter for a year and a half with no issues.
I do have some protection from water. I installed a "Drycharger" from K&N. It is a mesh cover that fits over the filter and repels water using its treated material.
K&N says the addition of a drycharger only decreases airflow by 10% over an uncovered K&N filter, not too bad for the piece of mind and of little worry on a forced induction vehicle like the SAAB 9-5. It is actually more translucent than this image shows.
It fits snugly over the air filter and also helps to keep dust and larger particles out.