Over on another forum, the most popular (by quite some margin) is a BCS Power Valve exhaust system (
www.powervalve.co.uk). Cost for a full turbo back exhaust system is around the £1200, but if you look at the gallery, the quality and fit is beautiful. Going to swap to one of these systems myself.
Again, intakes are subjective depending on your preference for closed or open filters. A closed system like the VW Racing intake will set you back nearly £420, an open air equivalent is the Revo ceramic coated intake (again, one of the most popular). But EVOMS (Evolution Motorsport) do an intake (which is also well liked) for around £310 (including heat shield).
Hope this helps. If not, get on Google and search out the other VW Golf forums and have a look through project threads and bits to get a feel of what's hot and what's not.