Righ up my street this one !
First thing is first - decide on a budget and a criteria as the last thing you want to to spend a fortune on mods that make the car undrivable as the power band is to high. That leads to massive fuel bills and premature engine failure! If your uprating the head / cam remember to think about your bottom end / oil pump etc too or it'll definately go pop !
Next is with X to spend how mad should I go? Seeing as your talking about a 'cam' and not 'cams' I'm assuming you have an 8v GTI, remember the engine limiter is controlled buy the ECu so if you want ot rev beyond that limit with something like a race cam you'll need a new cutom / mappable chip to enable you to do so - again more

I'd say go for the middle fo the road cam offered by either Kent or piper. OK there are better brands, but for the money u can't beat them! Also make sure you buy a cam kit, not just the cam. You'll get all the necessary lifters etc which is one of the main things to replace on a 8v GTI engine as they wear and rattle.
Lastly, and most importantly is the head work. Theres hundreds of tricks you can use to release more power, but you have to weight up how much you'll get to how much it'll cost. I'd say spend up to ?200 and get larger inlet / exhaust valves, multi angle valve seats, ported NOT polished, and finally a mild skim to raise compression.
Oh I almost forgot, you'll need someone to dial your cam in properly too as the cam timing will be completely different so and ?60 - ?100 for a vernier pulley and unless your a good mechanic quite a bit more to get it dialled in!
As you can see there's alot more to just slapping a cam in - sure you can take that approach but don't expect to see any gains! And what I've just mentioned is some very basic imformation, give me a shout if you want some specifics.