The usual rules apply, let the engine breathe better - de-cat, good quality exhaust (NOT just a 'show' exhaust, Magnex, Mongoose, Milltek etc. etc. which are built for performance) and then an induction kit. Don't waste money on the gimmicky ones, just get a K&N or Pipercross and then duct plenty of cool air.
Then you're onto ECU remapping or 'superchipping'.
Then you can look at performance cams, head replacement and if you're really serious, strip out some weight. The Golf is a lardy car, get it stripped out and you'll gain a much bigger difference than all of the above mods put together!
Don't forget though, anything you do is going to put strain on your brakes, suspension (if you're hammering it around) and on the engine itself. If there are any signs of the engine needing work (oil leaks / overheating etc.) then you must attend to these first or any 'mods' you make will just land you with a hooj repair bill later on.
Cheers,
James