Golf Rs are pretty bullet-proof, and there aren't really any specific weak points to look out for.
Cars do come up in the sub-$35k range with ~50-60,000km on them, and all things being equal, low mileage is very desirable. Turbos and other parts have a finite lifespan, and depending on how many kays you're intending to do I'd be taking my time to track down a good low-kay example. The upfront cost may well save you in deferred maintenance costs over time.
As for options, that's largely up to you and your personal taste. There's no real 'must have' options, although the DCC is a very good idea on cars fitted with 19" wheels. Check out these threads for more info and discussion:
Golf R Observations and Questions
Dynamic / Adaptive chassis control (DCC / ACC)
Dynaudio in Mk6 Golf compared to stock?
The Official MK6 Forum Important Threads & Posts Index **READ FIRST BEFORE POSTING**
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