Well i am also planning on a plug and play chip and a cai. But i wanted to do the resonater because a cat bak for me has too much turbo for me. And i cant find an aftermarket exhaust for this car with a muffler.
Learn (read) first and spend money second - you will end up much happier in the long run.
1) You will not "roll coal" in a clean diesel unless you do several illegal modifications. Discussing this is against forum rules. If you bought a diesel so you could roll coal:
a) You bought the wrong car.
b) You might want to grow up a bit. There is no need to give diesel cars a bad reputation.
2) Add-on tuning boxes (plug-n-play chip) are lame compared to a real ECU tune. They can't do as much good and they might do more harm. Stick with a well known tuner.
3) Aftermarket CAIs are mostly useless (except to create a little more noise). Your car left the factory with an excellent Cold Air Intake. Aftermarket CAIs are designed to move money from your wallet to someone else's wallet. Read this thread for more info:
http://forums.tdiclub.com/showthread.php?t=290373
4) Cat back (legal) exhaust modifications (or even a straight pipe) will do nothing for power and only slightly increase noise. Most of the "muffling" in our cars occurs in the emissions control system, and modifying that is highly illegal.
Welcome to the TDIClub - the best place on the internet for TDI help.
Have Fun!
Don