Leave the air intake system alone, the current factory air intake is a very good cold air intake complete with ram effect and a massively oversized filter. Spend your money elsewhere, there's no gains from messing with the airbox. It's a very well engineered design that you probably aren't going to beat. It'll happily supply enough air for your power goals and then some.
Your HP goals will require an upgraded turbo and decently large injectors. I wouldn't spend the money on the Stage 1 tune to be honest, it's not going to do anything for your eventual goals. The most economical way to get there will be to do the injectors, turbo and tune all at once, if you do it in steps you're going to be paying for a tune, change the injectors, pay for a tune, change the turbo, pay for a tune... you get my drift. Some of the vendors (KermaTDI for instance) will re-tune for free if you buy a custom tune from them when you buy additional parts from them, that'd be the only exception to that rule I'm aware of. That costs a bunch more than a canned 'stage 1' tune, but if you buy yourself a set of injectors and a custom tune, then the turbo later, etc it'll be cheaper in the long run.
Don't go small on the injectors when you do eventually get them. There's not a lot of reason to run anything below R520s if you have a custom tune. Your tuner can dial back the fuel until you have the airflow to support it, again avoiding buying slightly upgraded injectors, getting tuned, getting the turbo, getting tuned, etc... Just buy the R520s you know you're going to want for your power goals and be done with it.
EGR delete is optional but will help keep the intake clean. There's some tradeoffs including increased warmup time, something to be aware of if you live somewhere cold. There's no power gains associated with an EGR delete, just an increase in NOx emissions, a slight decrease in fuel mileage and increased warmup times BUT no more cleaning carbon out of the intake manifold.
EGT gauge would be an excellent investment. A Scangauge is also extremely useful as you can set it up to show you whatever values you might want that the ECU knows about - boost, coolant temperature, intake air temperature, airflow, whatever. The only other gauge would be oil pressure, as the ECU only gets a binary "yes there is pressure / no there is not" signal from the engine.
Like Burn said above, first step is maintenance. Timing belt should be the very first place you spend money, if you haven't already done it. Never trust a previous owner's statement that it was done - you never know if it really was done, if it was done did they replace the tensioner and all the rollers plus the water pump, did they replace the single-use engine mount bolts they had to remove, etc. Considering failure of any of those parts can easily generate a several thousand $$$$ bill it's well worth doing it for piece of mind.