Well the exhaust, particularly the downpipe will free up some power. When you say "full" exhaust system I dont know if you also mean headers and up-pipe, but there are some gains to be had there too. Lots of choices of equal-vs-unequal length, etc...
Fuel pump is a must for more power, but injectors are a mixed bag. You want injectors to be just a little bigger than you need them, but not way oversized. So if you do power upgrades incrementally, you may end up having to get more sets to match current power levels.
Another thing at this point would be a new turbo. You'll want to be careful picking your turbo. Not only are there different size turbos, but the turbos can have different inlet and exhaust sizes that affect the spool and power characteristics. Some people want huge power for road racing, others want quick spool for a DD, and everything in between. Not only that, but you can go "rotated" or stay in the stock location. "Rotated" means the turbo's been repositioned slightly for better airflow characteristics. If you go rotated, you wont be able to use standard up- and down-pipes. Then, if your turbo gets too big you'll want a larger TMIC, and if you run out of space there, a FMIC. FMIC will affect your spool and give a little extra turbo lag. Also weight and weight distribution if you care about that. There's also rebuilding/upgrading the stock turbo.
There are a lot of other less-significant mods that you can do to free up power here and there. Things like TGV deletes, porting and polishing of components. I've just been reading when you turn up the boost, as people are prone to do, things like aftermarket boost controllers (EBCS) might help make power more smoothly. An external wastegate can roughly be put in the same category. If you turn up boost even more you might need to upgrade your BPV, if you havent already switched to a FMIC. Then there's heat isolation which can be cheap or expensive, and help around town.
You can also go to alternate fuel sources, like meth. Meth can be great, and with the proper installation and safeguards, i've been told that it's totally safe. E85 is a popular fuel as it's (often) available at a pump in your area. You can fill your tank with it, load an E85 map with your AP, and off you go. You'll suffer a reduced fuel economy, but more power and I believe it's even got some safer (for your engine) characteristics.
Once you start getting into the higher HP turbos, you may want to consider getting your engine built. Heck, you might want to even without a massive turbo. The OEM pistons are prone to cracking ringlands, even at stock power levels. That's not to say you cant get away with huge horsepower on stock internals--you'll just probably be safer if you do upgrade. Here there are LOTS of options. Pistons, rods, cams, stroked, de-stroked. Those kinds of discussions would be good to have with your engine builder and/or tuner when you get to that stage. Going to a built engine has its downsides though, including piston slap, and isn't always the best idea. Confused yet?!
I've also heard some pretty awful things about the factory oil pickup. Personally, I've installed one on my car and one on a friend's and I'm only stage 1. Its one of those little things that, if it goes, can take your whole engine with it in the blink of an eye.
An Air-Oil-Separator or Oil Catch Cans might be a good investement too. Blow-by can get oil into your intake tract, potentially coating your intercooler (reducing it's efficiency) and getting into the pistons (effectively lowers octane).
Don't neglect things like suspension, weight loss, and proper engine monitoring (gauges). Swaybars are, IMHO, the best bang-for-the-buck of all time for these cars.
I'm a huge proponent of suspension and weight loss so feel free to ask me anything!
