Look up volkswagen motorsport, they are part of VW (the racing team) and have done alot of developements for the mk5 golf.
I think its a case of how much do you have to spend?
VW motorsport do a replacement foam airfilter for £51 odd I think ( which I was looking the other day) after that I guess there might be something you could do in way of exhaust, but really to up potential your looking at a remap and having had a quick look into those, regardless of who does it the starting bracket is about 500quid!