TDIClub is the best resource I've found on the net!Go to tdiclub.com and look under performance modifications. you will find pages of information.
My personal opinion is that if you want to spend that much money you may be better off selling your TDI to someone who appreciates the economy and adequate performance to allow you to purchase a used GLI or GTI to get the performance you desire.
You can still get economy with lots of HP. It all depends how you drive it.
Auto or Standard
Quick answer right now you have a couple options.
1) you have a PD engine (you may have already known this) and therefore 'nozzles' don't apply to you. your nozzles will be able to give you enough power until you upgrade your turbo. However you can get injectors. Your car has PD100 injectors (i think, don't quote me but check the club to be safe ). You can get up to PD 150 injectors but don't until you upgrade your turbo. Otherwise you won't be taking advantage of them and you will smoke like a chimney.
2) A chip tune is the easiest and best way to start off gaining some more ponies from your TDI. Most chips give you around 35 HP and almost 50 ft lbs. There are a few brands, Alligator, RocketChip, Upsolute (i think that's what it's called), DieselInside also does some tuning I believe. Once again though, check the club. I am currently looking into an Alligator tune with a Q-Loader (Check KermaTDI to see what I'm talking about).
3) Turbos are a major HP booster (with the right supporting mods). They are expensive but worth it if it's what you really want. Usually when you get a bigger turbo you get a downpipe for better breathing and some better injectors and a new tune. I believe a bigger turbo, chip, and injectors is called a Stage III.
4) Other than chip, injectors, and a turbo, you can squeeze out a few horsies by upgrading little things like intakes and such. BUT I've read on the club that doing so doesn't make as big a difference on the diesels as it does on the gassers. AND lastly just make sure you keep everything maintained well and your airways clean! Don't be scared to bag on it once in awhile to clean it out. It will smoke bad but it will be good for it (unless you go too far obviously haha). Look into the 'Italian Tuneup'. It's a favourite.
But exactly what kwik said, check the club and read it often. It's an outstanding resource. I'm in the same boat as you right now haha.