I think when most people say "ground effects" they're referring to side skirts and bumpers that make the car appear lower and more aggressive (aka "body kits" or "aerodynamics" etc). I'm not aware of these being illegal anywhere, but maybe? However if "ground effects" makes you think neon lights underneath, etc, then yeah, those tend to be illegal to use on the road.
If it were my car I would first look at engine upgrades, like the tuning box that is available for the 2009. Take a look in the power enhancements section. Otherwise I'd go with an HID lighting upgrade or suspension upgrade. However I'm not opposed to mild body kits...I have considered getting a
GLI looking kit for my A4 Jetta.