Performance Mods: Roc-Euro MQB drivetrain stabilizer paired with a quality dogbone insert (I personally recommend black forest industries). The arm effectively cancels out all nvh caused by the dogbone, and the both working together will do wonders for fixing up slop in the drivetrain.
APR Plus or Jb4 are warranty friendly mods to significantly boost output from the engine, either of which will bring you right in line with stock GTI performance numbers.
A quality rear swaybar (can't really go wrong with any of them) will really liven up performance as well. Would recommend getting some more performance oriented rubber on the wheels when the time comes.
Cosmetic: If the car isn't equipped with the lighting package I would recommend Ed's replica kit. The led DRL's really do improve the look of the car, and if you pair it with a good HID kit (don't forget to align the light output) you'll get a much better view of the road at night.
That's the only real cosmetic mod that I would say is "worth it" as the rest are really just up to subjective taste. One thing us TSI owners can do is mount the clubsport spoiler, so if you really want to go nuts there's always that.