I've done it in stages on my Td5, and past Td5's. (intercooler, ECU remap, EGR removal which you can make yourself), and my current one had a VGT turbo.
Definitely worth it.
I did have a "sports" type exhaust on the 110 for a while, but took it off as it was too noisy and gave me a headache on long trips, and to be honest, I didn't notice any difference in power once I went back to a standard system.
Maybe a "better" (read: quieter) system with a decent manifold like Allisport do, might release a few more ponies, but mine is plenty powerful and drivable at present so I'll just leave it be.