I have nismo catback, kinetix highflow cats, kinetix plenum - I am using standard air intake with a K&N filter.
I am not sure it would be worth it unless you plan on a FI or hefty NA build, I will be posting up the costs next week once it's all finalised, but as a rough idea the ECU is £965+vat and TDI charge £90 an hour for dyno tuning time... there are cheaper ECU options!