I've got a 1.8 20v NA, so haven't done much of this stuff myself (as there's not much point for the sake of only 20 ponies or so), but judging by this forum, the most popular options seems to be a revo remap and a miltek exhaust (possibly with a high-flow cat). This should really get you moving.ÂÂÂ
Not so sure about an induction kit, as the mk4 MAF sensors are very sensitive, and the oil from the K&N style kits sometimes tends to fook up the MAF sensor. I must add, however that this is not from experience, only hear-say.
First thing I'd do is sort out the suspension, as the stock Mk4s, despite having loads of mechanical grip, can be a bit wallowy. Some koni coilovers should sort you out. There's always the added bonus of it looking better lower too!