I agree with all that have chimed in here and I own the same car as you. Remap the computer is the cheapest best power gain you can get and I mean nice power gain. Another mod is to replace the injectors with higher spraying injectors. I think that the OEM is 100 and you can get some 150's but you will notice the fuel mileage go down. These are pretty good mods that to the normal eye no one would be to the wiser on.
Turbo upgrades are expensive and noticable to someone who knows what they are looking at. Getting a bigger turbo can also reduce lowend torque. Alot of us mk5 tdi guys here in the states are looking into a dual turbo set up but there are problems with space and plumbing. Now getting a single turbo that is top dollar for lowend and highend power also will require a new exhaust manifold as they are a one piece item so you may have to pay to have a new manifold fabericated and this has presented many speed demons here a problem as nobody has been able to find a turbo swap that is bolt on for the mk5 brm motor. Now if you know of something please let me know.