Firstly, the air filter - do NOT fit any kind of K&N, or any kind of oiled foam filter. They will fcuk up your MAF.
Secondly, chip tuning - do not use SuperChips. There are considerably better chip tuners out there, for similar money. I would recommend using only a VAG-dedicated tuning company, such as REVO. REVO do a "switchable" map setting, enabling you to swap between the modified and standard settings (for trips to the stealer), and are "invisible" to the stealer!
Exhausts - Milltek Sport exhausts really are top-notch stuff. A nice deep "mature" sound, very high quality fit and finish, and the cat-back systems should give about 8bhp. A hi-flow sports cat should release about a further 5 horses.
__________________
Sean - Independent Motor Vehicle Technician (retired)
------
'07 Audi B7 RS4 quattro saloon 4.2 FSI V8 32v (BNS) (with ceramic brakes) - WOW
'06/7 VW A5 Golf Mk5 GTI 5dr 2.0T FSI (BWA) DSG, fully loaded, colour coded, '98/9 Honda CBR600FX, the blueberry trifle 
'03 Audi B6 S4 quattro saloon 4.2 V8 40v (BBK) 6sp manual, fully loaded (gone, but not forgotten)