If you are going to be buying the TDI with the intention of modding it, there are endless possibilities for the 2003. It had the VE pump in an ALH motor. There has already been a lot of R and D put into these engines. 2004 was the beginning of the PD engine. It's generally accepted that we will be able to get a lot more power out of the PD motors, but the products to do so are slowly trickling in. I have a 2006 Jetta TDI with the PD motor. The PD's are 100HP stock, the ALH's are 90HP stock.
I've chosen to go with a DieselPower tuning box on my car. I've seen a 25% increase in HP, and it has dropped my drag racing times by 3.1 seconds. I've been really happy with the power gains, and couldn't be more happy with the service and support from the DieselPower company.
If you are going to be modding for a lot more power, you will need a new clutch almost immediatly. A popular choice is the VR6 clutch.
For injectors, stick with Kerma. He sells the Bosio injectors, and has a lot of really satisfied customers. Kerma also sells upgraded turbos, and the Q-loader that is similar to the Smarty for the trucks. The Q-loader uses the Aligator tune, which is the newest chip tune on the market. Aligator is a really nice tune, I just got to drive two TDI's this weekend with the Aligator tune. Very smooth power.
That being said, I'm still happy with the DieselPower products, and don't have any plans to change my set up.
I hope this helps!
~Sarah