Brakes - Not sure if they do them for your model, but you can't go wrong with Ferodo DS2500 pads. Even when used with OE discs, they will bite better than standard pads when cold & will be simply amazing when warmed up! If you've got big enough wheels, then maybe buy a GTi brake set-up??
Suspension - FK or Koni coilover kit or Anniversary shocks/springs. Uprate the anti-roll bars first, too.
Air filter - 'Green' replacement panel filter to keep the costs down, or you could splash out on an enclosed induction kit?
It's all down to how much you want to spend, & how long you plan to keep the car, IMO. For instance, if you're planning on buying a GTi in the next 12 months, for example, then I personally think you're better off saving your cash (apart from the Green filter element, as this will probably only cost about £30??) & putting the money towards your next car purchase. But if you plan to keep your for a fair while, then suspension brakes are a great place to start (along with some driver tution on track, maybe, (don't know how experienced you are, BTW), as it takes mega bucks to extract decent power out of naturally aspirated engines).
Hope this helps.
