Trust me on this as I have done it.
Cat Back - no appreciable difference, it will sound nicer and that's about it. It may spool very slightly faster but not enough to notice unless you were eagle-eyeing your boost gauge.
Turbo back - The cat is the most restrictive part of the exhaust system on a TDI - So it would be the best way. Removing the cat without mapping the engine accordingly can cause problems, not only will you get an error light but depending on your particular car you can encounter boost creep, which is where the car cannot control the boost it is producing, because it's expecting a certain amount of resistance but getting far less. This can push your car into limp mode at high speeds.
If you want actual performance increase then get a turbo back with an EGR delete (as this is going to be the best part getting quality clean soot-free air into your engine) and have it mapped at the same time.
On a standard car you would notice little to no difference from changing an exhaust alone.