Yes, a chip will change the sound of your car. The biggest gain from getting chipped is by using more aggressive boost from the turbo. More boost allowed, higher RPM on the turbo, more air into the engine, and more exhaust out all equal more power AND more sound.
well it doesnt really matter, if you get everything before the chip the shop can tune it to the level that your car is ready for... If you chip your car first then get exhaust after you can reprogram it to stage 2 which is usually free. Also depends what company you decide to go with. some have stages otheres dont although i think the major ones all do like APR, and GIAC not sure about revo, other then exhaust everyother mod just compliments the chip doesnt need more reprogamming as far as i know