Given the fact you have 100k on the vehicle in question, you might want to try other vehicles with (ideally) just the modifications you are considering. The rest that you have not tried; you will have to project before you get them all on. Also keep in mind that the Golf and Jetta spring rates are ENTIRELY different! At your mileage it might be more cost effective to do all the mods at once. If that does not matter, you can slowly ramp up.
Like a previous poster I have parts not installed. Bilstein TC's, Neuspeed Sofsport springs, Autotech 28mm rear sway bar. Goals here were:
I wanted slightly stiffer dampers, but not full performance. I wanted slightly higher progressive springs in front and rear, but not full performance. I wanted little to no lowering, hence the Neuspeed Sofsports @ .75in . Some other aftermarket manufacturer has now come out with a two in lift kit with Bilstein TC's. So that is a remote possibility. Secondary rear sway bar for rear body roll, but adjustable. The 2003 Jetta already has an 18 mm rear sway bar in the torsion bar. This addition is also to help to dial out the massive understeer our VW's have. All of this for app 50 dollars more than the cost for just Koni shocks! (Playing the bang for the buck game also.)
Naturally, it makes all the sense in the world to upgrade the wheels and tires to take better advantage of this increased performance, but when I get in that glazed mode, I just switch over to a Corvette Z06!!!
So what I did was to try various combinations: the full Shine set up, full Koni set up, stock springs, Stock springs, Bilstein TC set up, Bilstein HD's with stock springs. Harder to find will be the exact parts set up, I described above. So based on the full Shine set up (Shine's are tailored more toward performance rather than an emphasis on ride comfort) trial, I personally would be ok with doing all the mods at once. I would not really recommend doing all the mods at once to you, unless I knew a bit of your preferences.
The real purpose for my 2003 VW Jetta TDI is dailer driver and high speed long distance touring.