Follow the rule of thumb: start with cold air intake, exhaust, and chip. You can get a nice cold air intake and exhaust off eBay for cheap. I remember when I had my Jetta, I purchased a $30 cold air intake off eBay and it was a replica of the Neuspeed cold air intake (which is $200), the only difference was that it didn't come with installation intsructions.
When you buy aftermarket products, these companies have an insane profit margin. If you are looking for cheap and easy horsepower, you can get a cold air intake and exhaust system off eBay for a really great deal.