In my experience the 1.8T or the 1.9TDi are the best engines in the later model cars, although I have had neither in the Golf and am unaware what engines that offer in the later/latest models. I believe they changed the 1.9TDi to a 2.0TDi for the latest line, which isn't as good as engine.
Either way an exhaust, new filter and remap will give you a good power boost and better response without losing reliability.
You can also upgrade any car, I'm in the process of fitting a VW heated leather interior to my mk3 that it never came with.
The cambelt and such need to be checked whenever you buy the car and buying a car that has just had them done may save you money in the near future. They're gonna need to be changed regularly anyways.