Glad your enjoying your Golf

A full Magnex stainless exhaust is a good un, only gives an extra couple of BHP at the top end but feels smoother through the rev's and sounds good, twin pipes at the back look fairly standard as well.
I run vented cross drilled discs but there's a strong argument for running grooved and drilled discs, unvented, if you drive really hard.
Pagid brake pads are very good as are EBC Green's, I run the standard 16v brake calipers and disc size but have mk3 calipers on the back as they don't rub or bind like the mk2 ones can.
A full poly bush kit will make a huge difference, and Eibach anti roll bars will make the car handle like nothing else.
Theres loads of shocks and springs avaliable and lots of debate as to which are best, I swear by Koni wheather they are Sports sprung damper kits or coilovers.
Get some damn good tyres on there as well, Toyo TR1's ?
Hope that helps a bit.
Jonny