Not so much about where to buy bits, but what to consider.
Bushes - one of the first things to do and poly bushes are by far the best option - Powerflex is a well known brand for VWs. Replace all of the lower suspension bushes, plus the strut top bushes.
Suspension - depends on your budget, but if you're tracking the car, you probably want a fully adjustable set-up, so something from Apex, KW or Koni.
ARBs and strut braces - OMP or something similar for the anti-roll bars and H&R for uprated anti-roll bars. Go for 25mm front and 22mm rear to remove just about every trace of roll, when you combine it with a decent suspension kit.
Seats - anything light. You can get carbon seats that weigh about 6kg each on fleabay, but only buy from uk sellers.
Brakes - you can uprate to G60 fronts (280mm) with some decent pads like Ferodo DS2500, or go for a decent bigger front disk upgrade like Tarox 4 pot or 6 pot (again, dependent on budget). There's a site out there somewhere I can't remember where you can get £100 of a £700 Tarox 4 pot upgrade. If you're tracking the car, then don't even consider cast disks - go for floating rotor and don't use Red Stuff pads with anything other than floating rotor disks, or you'll warp the stock disks (from expensive experience with my R32).
Engine work - again, all down to budget - it really depends how much you want to spend and how many horsepower and torques you want.
Try
www.awesome-gti.co.uk for some mod parts - talk to them to get better pricing (I'm in no way connected with them), and good old fleabay - I've picked up quite a lot of new or nearly new stuff on there from people who've run out of money on projects and need to get rid.
Best of luck mate and let us know how you get on.
Cheers