Myturbodiesel has a good Wiki on the subject of basic mods for beginners.
Linky
Here's one (very common) upgrade path:
ECU tuning via Q-loader, files sent back and forth over e-mail, very convenient, no down-time.
Next add injectors, free retune to match. Often a clutch is needed at this step also.
Then turbo upgrade and 3bar map sensor, free retune for the parts. A clutch will definitely be needed at this point.
Of course you must first make sure the timing belt is current, intake manifold cleaned out, vacuum lines new, etc. No use trying to hop up a broken car!
If your injectors have a lot of miles on them you could start there. A tune will get the best use out of any upgraded injectors/turbo, but some guys are happy with just a tune or injectors and stop there. But most of the time it's "what else can I do" once they get a taste.
I recommend calling and talking to the vendors you are considering, to get their ideas. Forum guys mean well and are eager to give advice, but in the end, they are not accountable to you and won't have to answer to you or provide support, if you have questions after you follow the advice. You can often judge the quality/promptness of service you will get after the sale, by how your initial inquiries are handled.