For the upgrade, you will need:
Turbo
Injectors
Pipework (dv relocation)
HPFP
TBE
Intake
RS4 FPV
Suitable K04 map
Clutch (unless dsg)
With the above, the car will be good for 320bhp / 320lb/ft on JKM's dyno (and between 350bhp - 370bhp on others). With sounding too obvious, it makes a huge difference (50 - 60 bhp) over the K03 and totally transforms the car. I'd ignore the guys that say 'K04 is more laggy than K03' - it is really not that noticeable (imo) and the extra mid range and top end is amazing
As mentioned, James added a boat load of WMI to his K04'd BWA, and hit 363bhp on JKM's dyno, before his BWA went pop (blown piston ring). He now has a CDL with an even more aggressive map and hit 378bhp / 450lb/ft at the most recent JKM RR day. His car is mental!
Other will correctly advise you to look at other supporting mods also - brakes, suspension, bushes, mounts, ARBs, diff, etc.