If you don't want to change your wheels, check out Koni Special Active shocks, they're designed to work with stock springs.
They have frequency dependent damping, so they act as a sportier shock for long stroke movements, i.e body control, and act as a more comfort orientated shock for short stroke movements, like bumps and ruts.
They were going to be my next mod after the wheels, if that didn't sort the ride out, but I am very happy with a stock GTI on 17's, it's pretty much perfect for enjoying a blast down Bedfordshire's crappy b roads.
You aren't going to get much change out of a grand after you've had them fitted though.