i think upgrading the suspension and brakes brings good bang for your buck, and tangible benefits. though a chip for the JTD is another good upgrade from all reports.
for suspension, the 2 general options are new conventional springs+dampers or coilovers. the latter are more expensive, but provide adjustable rideheight to suit your tastes, and tend to provide a harder ride. but coilovers are probably the best choice for trackwork.
i have a combo of KONI Sport adjustable dampers with Eibach Pro Kit springs. i highly recommend these as an upgrade for normal daily driving. improved ride comfort and better damping over bumps for improved handling. KONI FSD dampers are also proving popular, but are not adjustable and are more expensive.
for coilovers, i'd suggest either the Novitec models, or KW Variant 2. KW produce the Novitec ones. Variant 1 has no damper-adjustability; V2 allow rebound adjustment (like KONI Sport), and V3 allows adjustable rebound and compression. V3 would be more difficult to set up 'perfectly', but if you have the time and inclination, would be the ultimate.
as for brakes, i'd one day like to try the Ferodo DS2500 pads which people have highly praised. also braided brake lines. new discs may or may not help, but for me, i'd change them when mine wear out, to something more bling, like Tarox G88 40-slot models.
a new air filter/induction system should also benefit a turbo, as well as a high-flow exhaust/cat. you could do a full exhaust system including headers, cat, catback; not sure if any off-the-shelf dump pipes are available. turbos tend to respond well to this kind of mod. i've not read about - but no doubt has been done - electronic boost controllers being used, and upgrading the turbo. Supersprint, Ragazzon, and CSC spring to mind for cat-back exhausts.
clutch would need upgrading if you've made a huge hike in power. otherwise, some higher quality synthetic gearbox oil might help. i've not read of a shortshift kit, but that would be beneficial on the 6spd to reduce the 'throws'.
hope that helps.