Can recommend loads: Alloys, lowering and anti-roll bar, HIDs / Xenons, R32 tail lights, Tinting, GTI/R32/GT sport grille conversion, Rear valence upgrade/ exhaust, Armrest, Interior Trim, K&N Airfilter, Chipping, ICE update - loads of options there.
Done only a few things (got the exact same car) such as HIDs and window tints, and though the car looks better the wheels and ride-height are the things you notice most when looking at your car and considering what needs changing.
In the end it depends on your budget and priorities.
1.9 TDI S with HID 6000K, Debadged, Tinted (smoke & dark smoke), Jetta Interior Trim
To Do: GT Sport front bumper conversion, H&K Coils & Springs, 18" Alloys, R32 Tail lights, colour coding...