Aftermarket parts

The internet, specifically google is a good start.

Sound:
Local Retailer
www.etronics.com
www.crutchfield.com

Performance:
www.autoanything.com
www.jegs.com
www.stillen.com
www.summitracing.com
www.streetperformance.com

Wheels
tunershop.com
raderwerks.com
setuning.com

Performance/suspension/appearance
ecstuning.com
ngracing.com
forgemotorsport.com
awetuning.com
blackforestindustries.com
atpturbo.com
eurojetracing.com
techtonicstuning.com

Stero
enfig.com
crutchfield.com

There's a few for you too look at... They all specialize in VW/Audi or European cars
There's more on my friends site under "Resources"  flatfourvw.com