My previous car was a MKV Golf GTI and I loved it, but would recommend MKVI. As for mods, my first option was a tune and you just need to check the "tuning and performance" thread. I'm sure you will come away totally confused, so you need to do your research and go with the tune you that suits your needs.
As for exhaust, I would just do the DP, you'll save a heap and won't miss much gain unless you get radical with other mods. Have fun.
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