I cant see a new back box making any/much difference, for diff note your better off with either cat back exhaust or ideally turbo back exhaust with race CAT (200 cell, passes MOT fine), lots of diff exhausts to choose from if you look around, budget £450-550 for cat back or £1000-2000 for Turbo back (Milltek are around £1100 for turbo back).
Milltek (GTI Forum favourite it seems) IM getting one of these for my GTI as they sound better than stock but NOT louder (if you got for resonated anyway, if you want the boy racer noise go NON-resonated!).
BCS (same guy that ran blueflame) well respected and used to have a blueflame on my 1st MK4 GTI.
MV Sport sound good and look good although only heard about them around 3 weeks back, similar price to Millteks.
Jetex
Magnex
Supersprint (lots of money required, german shops are selling them at £2200 for turbo back
As Jedi already stated its not a noisy engine unless you go NON res (deleted middle silencer) otherwise its a quiet car (just what I like!).