Hi,
It depends how far you want to go.
But, the most effective change that I made in any one hit was to replace the diff or just the gears to the 3.46:1 ratio. It really wakes it up.
Next you can get the intake fixed with a free flowing MAF pipe, maybe a k&N filter, a ported MAF and a ported and polished throttle body. Also do the hot water-by-pass while doing the throttle body.
Then to compliment the intake side you need to do the exhaust all the way from the heads to the rear. If you have an A4 then stick with 4>2>1's for best results.
All this should give you at least 300kW and a snappy car.
BTW., I can help you with the throttle body and the MAF.
Cheers,
Mark