First step for me would always be chip and brakes, as once you change these you get basically a new car (in feel anyway).
You'll be looking at 190 to 200ish bhp (and over) dependent on the tuner claims, but personally I would do a load of research on the various tuners and the feedback on the forums and then make your feeling based on your gut. One person can say X is better than Y, but there are very very few people who have had more than one remap from different tuners on the same car and can provide a subjective opinion.
With the above in mind don't just go for the tuner who claims the most, but one who you believe will provide the best, and then I am sure you will be happy. When I did mine I went with my heart and bought the most expensive chip on the market, but I was more than happy with it, as the map felt like factory and boy did it go.
There is no Dump Valve on Audi turbo engines but instead a Diverter Valve which recirculates excess boost pressure on lift off back round to maintain turbo speeds. So if you fit a dump valve with the "silly hissing noise" you describe then you are loosing performance (Not much but some nonetheless).
If you hear a fluttering noise when lifting off then probably your DV needs repairing, if an aftermarket type, or replacing, if standard.
I still believe one of the best available is the latest standard Audi part, however you must expect to replace it in time because it will fail, but it is relatively cheap and easy to change.
An aftermarket DV will allow you to service it and maintain it, but they are quite expensive, and at low end tuning only allow maintenance and until you make some serious mods I'd stick with the VAG part personally.
Air filters are an issue many have different opinions on, and for me a regularly maintained paper filter is the best for filtration and for avoiding any issues. CAI filters or panel filters that use oil have been said to clog up the Mass Air Flow (MAF) sensor (located in the inlet system and measures airflow and air temp) and so some avoid them completely. One could argue if only a small (correct) amount of oil is applied then there should be no issue at all, but this is a subject that will continue on....so this is a personal decision and again do some searching on here for more opinions. Another option is stainless steel mesh filter, but again there is mixed opinion on these, and personally I've not had an issue with mine.
Do a search on here for 'N75 J' and you can order a standard VAG part that holds boost longer than the standard 'F' part, but do this after the chip is best.
There are lots of other cheapish little mods you can do, but once you get it chipped the car will be reborn and so start there, but do make sure you do the brakes as well!
