Revo and ITG get good reviews performance-wise. They're not cheap though. The Ramair kit is apparently excellent value and gives comparable performance to more expensive options.
As for sound, they're all going to be different to some degree, but generally an open cone (eg ITG) rather than an enclosed design (eg VWR) will be louder. And what one person thinks is subtle and tasteful another thinks is loud and chavvy.
Be aware that open cone filters often induce a strange intake resonance in k03 cars coming onto full boost. Think of a flute or recorder being played really badly and you're not a million miles away. It doesn't always happen, you might get lucky. But it does happen often enough, and like I said almost always on k03 cars. Something to do with the pipework or turbo, which obviously differ between k03 and k04 cars.
Plenty of people say you lose low down torque with an intake, while you gain flow (and therefore power) higher up the revs. Not sure how pronounced that is, or whether particular kits lose less than others, but having a map to suit the intake, as well as the rest of your hardware, should minimise any losses.
You can't keep the engine cover as well as an intake. I think Audi TTS covers work, and the GTI one can also be chopped to allow the intake to fit.