The next big questions is "who is turning the wrench?" If it's you, 2-3 grand is going to go a HELL of a lot farther. If it's someone else, not so much.
If you're going to modify your car, the first thing you need is access to the VCDS cable and software from Ross Tech. Frankly, at $250 (assuming you don't want to plan on supporting 2005.5 or newer diesels) it's a great tool to have.
Stage 3:
Clutch: you're definitely looking at a clutch and Single Mass Flywheel (SMF) as a requirement. Figure $450 in parts if you're committed to a maximum of stage 3 (G60/VR6 Clutch + SMF Kit). Figure a very long day (or weekend) if you're DIYing and it's your first clutch. $600-$900 for labor at a shop. With a now 12 year old car, you could put this down as maintenance.
Nozzles: I believe "Sprint 520" nozzles will get you through stage 3, but "PP764" nozzles give you more room to breathe. Figure $225 for sprint 520s and $300 for PP764s. More for There are many threads on nozzles here and even mentioning these could start a debate. Add more ($150-$200?) to get them flow matched (recommended, but also debated).
Exhaust:
Perform a mufflerectomy at the least.
Gauges:
At stage 3, I wouldn't call it a requirement. I'd invest in VCDS for logging and dialing in your tune before a gauge.
Figure 1200+incidentals for the stage 3 setup if you're turning your own wrench.
Figure 2000-2500+incidentals for a shop.
Stage 4 adds a good chunk:
Nozzles: PP764s (maybe more, debates will happen)
Clutch: SB S2E (south bend stage 2 endurance + SMF) or like: $630 in parts
Turbo: VNT17 (all across the board depending on new/used/how long you wait for a deal): 300-1000
Exhaust: get a turboback exhaust (downpipe and back)
Intercooler: Upgrade required - 100-600 depending on style, mounting, charge piping, new/used, etc.
Gauges: are a good idea at this point: 250.
You could do Stage 4 on your own for 3 grand.
More than ~that and you run into the fueling limit of your injection pump... and you probably don't want to dump more money into that... it's prohibitively expensive.
All of this assumes a 5spd transmission... you do have a 5spd, right? Otherwise your first grand goes into parts for a 5spd swap.