most likely the downpipe and cat would give more hp, but you will still be limited on the muffer. i would start with the cat and do the muffler when you can...have a complete free flowing exhaust.
also if i am not mistaken, wont you need to retune the turbo if you mod intake or exhaust...i am not possitive in VW, but i know when you put that stuff on a turbo'd 8 (aftermarket) it had to be remapped
you really have to go to a tuner shop to get things remapped. it is similar to what apr does, only they put the car on a dyno and test everything, remap and test again. you have to make sure they are reputable...i heard a really bad horror story of a fellow that turbo'd his rx8 and brought it to a tuner, and the tuner blew the motor when tuning it for having the mapping all wrong. then the tuner wouldnt cover the repair costs. in the 8 you have to pretty much tune it right away after modifying anything when it comes to a turbo, but that could be different because this is a stock turbo
honestly i know more about the tuning of the 8, then i do the GTI, so i am not 100% positive if everything would be the same.
i think a good idea would be to contact apr, and tell them you want to buy there chip, but you have plans of modifying the intake and exhaust and ask them if you will need to modify the mapping from there. if they tell you no, then you might not need to get it tuned. i am not thinking if you get the exhaust that you will blow the motor, by far i dont think that will happen, it just might not be an optimal tune, and you could get more power from it if it is tuned correctly
as far as costs, i have seen from 1000-2000 for a proper tune, but the difference would most likely be outstanding, especially if apr can get so much more power from just the chip...all they are doing is remapping the computer for fuel, spark, and boost...maybe some other minor things