Your biggest bang for the buck is going to be a chip (see chipping) folled by exhaust, tires and ending up with things like brakes, suspension and a new turbo.

Henry adds "I have a 2001 coupe 225. I like to share my experience with fellow TTers. I have installed a Neuspeed chip and I according to them a 40 horse power and 40 foot lb of torque. I can feel the difference the chip made and it's quite substantial. Specially on the highway over 75 MPH, the accelerating is much stronger than stock and the chip doesn't seem to harm the fuel consumption. Next thing I took off the factory air filter and the plastic box and connect a cone type air filter to where the old air filter box connects. It is alot nosier, you can hear the intake of air and the blow offs with every shift and accelerating. You can really hear the breathing of the engine and sounds really cool to me. I have also noticed some gain in performance. Then I have a stainless exhaust custom made at a local muffler shop. Starts from the cat back with only a resonator. My car sounds really amazing now without being too loud. It makes a nice low rumbling at idle and it is louder accelerating but it's not louder crusing at a stedy speed. I noticed quite a jump in performance, whereas before the exhaust the power increase with the Neuspeed chip is good but then it goes flat after 4500 RPM. Now with the cone air filter and the exhaust, the power is up quite a bit and it has more top end power. Acceleration is alot more intense than stock. 0-60 is 5 seconds, part of the reason is due to the new Chip, I don't have to shift to 3rd gear before reaching 60. The cost of the mods, Neuspeed chip = 600, cone air filter = 25, custom exhaust = 475 totalling $1,100 which I think is a steal for the gain, without harming the engine and retain the longevity and reliability of the engine." - 5/9/2005