A filter is a good start and the ITG may be a little more expensive than most but it is the best. As regards to upgrades it depends on how much you are wanting to spend.
One of the most simple and most effective upgrades for a GTI is a remap. There are many reputable companies such as APR, Revo, Custom Code, Superchips etc. that will give you impressive gains, 35-45 BHP is the norm.
There are other mods such as coilover suspension and anti-roll bars to improve the cars handling. A limited slip differential to improve traction and full turbo back exhaust systems to improve power. It all comes down to how far you want to go with it and how much you want to spend