Depends on what you're after and how far you're prepared to go!
If going OEM+ probably the best route is Stage 1 map (and new clutch if manual) & Clubsport S suspension mods.
But I will say as Oryx3Dr and I were talking about on another thread, there is something nice about a relatively standard car, not having to fuss about insurance and declaring everything for example.
I can't remember exactly everything I've done on mine without looking at my insurance policy, but in short BBS CI-R's, Remus GPF Exhaust, black roof, TCR spoiler, R600 intake to name the big stuff. It's more sporty but in a more what the GTI should've been way, rather than a modified way.
Best advice I can offer is think about mods across a long time if doing OEM+.