Tom,
If my car doesn't sell modded there will be some tasty kit available

If I was modding the car from stock all over again I would start with the brakes and suspension before adding power.
It all depends on how far you want to go. Take it from me as one who has travelled all the way down this road

If you want the best of the best for each mod, then it will take time and money. I always remember a few quotes on forums that stick in my mind and hold true............
Cheap and fast ain't reliable, cheap and reliable ain't fast and fast and reliable ain't cheap.
You have to pay to play.Speak to Daveb1970 on the MK5golfgti forum as he is undoubtably the guru for all things braking.

An S3 set-up front and rear is a good set-up and should be enough with mintex pads, braided hoses and a good DOT4 brake fluid.
The Milltek system does have a rear box that sits below the rear bumper, but not noticeably so unless you lay down next to it. A 100 cell catted exhaust should still be compliant with exhaust emissions if your car is relatively stock ie a fuel pump would raise the emissions by quite a bit over a normal pump and would take you closer to borderline.
I agree that the stock sound system is poo and a decent aftermarket set-up including a sub and amp would set you back quite a lot (mine was £3k fitted)
Anti-roll bars made the single most effective handling improvement on my car and was a complete revellation. £400 would see front and rear Eibach's fitted to the car. Mine were £500 just for the anti roll bars as they were lightweight, but still worth every penny.