It all depends on the mod levels you are looking at for your tdi...
I would suggest the LSD is a really nice way to put things down.
If I was going all out I would suggest a new .681 fifth gear and a 3.1 ring and pinion set. If you have to limit it to things that need to be done when the tranny is out do the lsd first. Next I would say the ring and pinion. The fifth gear and the short shifter can be done on the car.
Hope that helps. TDiparts.com has all the items btw.
Almost forgot... change the oil