I went Stage 2 a month ago, so I'll obviously recommend the route I just chose. Love the sound, the more linear throttle response, and the additional top end power.
The price difference favors Stage 2, as you can find a used downpipe for around $350. The install isn't too bad, I sourced enough info from this site to swap my downpipes. It was my first major DIY work: previously I've only done an intake and wheel rotations.
I must add that I've never fully understood the allure of a DSG tune, for the price. I get that it's strange that our cars shift a little after 2k RPM, but it's shifting for fuel economy. For spirited driving, pop that sucker over to manual and let er rip.