Total Audi noob here. I just bought my first Audi last week and I am in love. I am looking to enhance the performance of the car. After a lot of research into what I should do first, I ended up with more questions than answers.

My goal is to build a fun, sportier version of the A3 TDI, but I need some advice. Will someone provide a sequential list of preferred aftermarket modifications. I can't afford to do everything I would like to at the moment, for financial reasons. So (in order) how can I get the most bang for my buck. Specific recommendations of parts would be greatly appreciated.

Here was my thoughts regarding the order of things to do (please chime in):
1. Engine tune (chip/software)
2. Transmission tune (chip/software)
3. Replace Exhaust (Diesel Particulate Filter Delete)
4. Cold Air Intake (Is there any consensus that this actually does anything worthwhile...I've found a lot of conflicting information)
5. Performance Intercooler

What other performance modifications would you recommend? I may eventually upgrade the turbo, but that is definitely out of the budget at the moment. Are there any other smaller things that would make a difference?