There are many things you can to to your tdi engine to increase performance. The first and most obvious thing to do it to get your car remapped. This will alter the boost settings and fueling. Next you might want to blank out your EGR (exhaust gas recirculation) Valve. This valve puts exhaust gas back into your inlet which is bad for performance. The EGR Valve can be raplaced by a stainless tube and a blanking plate. Next you would have to think about an uprated tdi turbo, boost controller, clutch and intercooler. Here are some relative links:
Audi, VW & Skoda Tdi Tuning