RE: TT exhaust.
There is a heated argument going on in another forum concerning exhaust systems/mufflers. The point-of-view that makes the most sense to me is that there is no muffler that is better than no muffler. (Does that make sense?) If you want to get the most out of your exhaust system, do a cat-ectomy and a muffler-ectomy, and just run a straight pipe out the back. It certainly does not make sense to replace your current exhaust with one from a gasoline engine.
RE: tuning box.
I am unqualified to suggest which of your several options is best. But from what I've read, it is better to upgrade injectors first, then chip if you want more power (but plan on upgrading your clutch too).
RE: KN filter
If you want one, you should be able to buy one cheap from tdiclub members who have removed theirs and gone back to stock filters. It's been tried; it addresses a problem that doesn't really exist, and causes additional problems. Again, this is from my reading, since I don't have a KN (or K&N?) filter and have no plans to acquire one. For my next filter change, however, I may go with the foam filter (winter?) used with the 1.8T engine. It is more expensive, but might be worth it. No additional power, however.
Let us know what you decide.