As has been stated already, the exhaust manifold is the restriction on the S3. Sports cats, exhaust, CAI, etc won't give you anymore power, just a better soundtrack. If it's a '99 you're buying then you should only have the one sensor in front of the cats, so you could get away with de-catting, but again that's just going to let you spit flames on the limiter and give you a nice pop between first and second. I'd go with the Forge Eliminator diverter valve, it's synthetic diaphram type that doesn't need such regular servicing. Keep away from atmospheric DVs.
If you're running high boost then the standard TIP can be prone to collapsing at about 5krpm. Two options are to go with the Samco/Forge hoses, or insert a metal sleeve - a la AmD. The intercooler hoses just make things look pretty.
The Forge FMIC is probably the best for the money. Again more noise and it looks good, very little power gains. It does help the heat-soak on a hot day or on the track, but the standard twin SMICs are good enough for a remap.
N75J - don't bother. You're better off getting the boost set with the map than dicing with limp mode.
The Standard suspension is mushy. Not bad for a standard 'nippy' S3, but you're way better off with a proper set-up. The Eibach coilovers are great, but a little stiff. Not too stiff that you bounce everywhere, but the Billy/H&R setup is much better all-round. I'm considering switching to the PSS9's soon. If you're going to lower it, then don't forget the rear tie-arms. Otherwise you'll end up with about -2° camber at the rear which makes it a little twitchy.
ARB's (21mm front and 19mm rear) are definately worth considering, as is the Haldex perfomance ECU. Both make the car way more stable in high speed corners. And the Haldex just makes things soooo much better. Best mod to date IMO.
The S3 brakes really aren't that bad. They're single piston, but it's a huuuge piston. If you want to keep the standard calipers, then go with EBC red-stuff pads and grooved discs. A big brake kit will cost anything up to £1700. Phenominal if you uprate the rears at the same time
Lastly, if you want proper power you need to look at going the big turbo route. There's not many places that will give you change out of £3.5k but you'll be looking at about 330bhp. Standard injectors and airbox are fine for that kind of power, maybe getting to thier limits but should be fine. The clutch might not like torque figures over 300lbs/ft but that depends on how often you want to 1/4 mile the thing.