Do some basic exhaust modifications by chopping off extra mufflers/resonators. Replace them with your preference, either Magna flow or Flowmaster. Any local muffler shop can do it on the cheap for your.
Move on to your intake setup. Either gut your intake box and drop in a nice panel filter, or do a basic custom setup yourself. It's simple to order the correct silicone elbows that allow you to position a cone filter in the fender well. Then you just need to block it off from the engine bay, which quite a few of us have done with great success.
As far as tuning, yes... the price per horsepower isn't the best deal on the market. But, if you are looking for that lil bump in throttle response and some more top end power, a tune will accomplish that. Nothing neck breaking... but an increase in power is out there.
I chose Evolution Motorsports for my tune for a couple reasons... they are local and available for any custom tweaks. They were also the best option available for the 4.2FSI.