Well, the first thing is usually a chip. The big 4 are GIAC, APR, Neuspeed and Upsolute (in no particular order), you have to chose what fits your needs.[list=a][*]
http://www.giacusa.com[*]
http://www.goapr.com[*]
http://www.upsolute.com[*]
http://www.neuspeed.com[/list=a]
Then we have exhausts, most of the tuners are recommending a 2.5" turbo back with the stock turbo, hence APR, TTtuning, Brullen, Eurosport, and Miltex are all producing 2.5" systems.[list=a][*]
http://www.goapr.com[*]
http://www.tttuning.com[*]
http://www.eurosprtacc.com[*]
http://www.forced-motion.com[*]
http://www.vwturbo.com[*]
http://www.stratmosphere.com[*]
http://www.neuspeed.com[/list=a]
You should also get a new clutch, since the stock clutch just can’t take the extra power you throw at it.[list=a][*]
http://www.autotech.com[*]
http://www.ecstuning.com[*]
http://www.adrenalinmotorsport.com/[*]
http://www.neuspeed.com[/list=a]
Aftermarket DV/BOVs are popular modifications. The stock DV is strong enough, but hey, they look cool.
Aftermarket air intakes is another popular modification, some may make power some may not. But along with a aftermarket BOV, they sound cool.
When the power increase, you will want to get it to the ground, hence an LSD is favourable, Peloquin and Quaife build these, don’t think there are any differences to the two.
And yes, you can get coilovers.