first audi..... everyone has "mods" but most people have dumb ideas
something to make it a fun car but not too complicated just yet

 

Which engine do you have?

If it's the 1.8T, the first thing you should do is get it chipped.

 

A chip will get you the most bang for your buck if your turbo. You can get 40hp for about $400. that's hard to beat.
Other than that it's the typical stuff you would think of, bigger turbo, better exhaust, test pipe, short shifter, etc.
An intake won't get you much since the stock airbox is set up as a ram air setup.