If anybody wants to believe that adding an exhaust and cone filter adds 10-15bhp then thats up to them - but I wont believe until I've seen a rolling road print out to prove it!

The manifold is the "compromise" in most manufacturers vehicles. Remember that 90% of cars that come off of the production line are all about compromise. Your average joe bloggs does not want a car that does under 20mpg, breakes their back because suspension is so hard, has an exhaust that is so loud they can't hear the person next to them etc etc. Exhaust on the GTI is definately better than some, but still a compromise. A 2.5 system is the best way to sort out the back pressure and increase mid-range torque - but not necessarily a guarentee to a bhp increase. Add on a 4 branch as well to optimise the benefits. 4 branch, plus full s/s system is probably good for 4-5bhp but will set you back £650 plus for anything decent. The cat is also another compromise. No point having a 4 branch into a cat tbh - defeats the point of what your doing.... Change to a sports cat and you've spent another £250 - thats almost £1k on the exhaust and not many mk3's (which are generally over-priced as they have a GTI badge on them) are worth that!! I've just ordered a Milltek S/S exhaust because the exhaust on my car is completely rotten and if I've got to pay £200+ to replace it I might aswell pay a little bit more and get an exhaust that will last the life of the car.
If you want true bhp increase you need to look at things like lightening pullys and flywheels. Porting and polishing, changing the cams (will make the car a little lumpy at low revs) boring out the engine to a 2.1 (diesel crank) or whacking on a supercharger or turbo.