I've always been a strong supporter of Magnaflow exhaust.
MagnaFlow Exhaust Products - For Trucks, Suv's, American Muscle, Diesel, & Sport Compact Vehicles

However... the Autotech and Techtonics systems do the job well for cheaper... but just don't sound quite the same.
Mk4 Jetta : Techtonics Tuning, Watercooled VW Performance Parts, Audi Performance Parts specializing in exhausts and camshafts
Autotech SportTuning-VW PERFORMANCE EXHAUST SYSTEMS Mk4 1.8t, Mk5 2.0T

Or you could fab your own pipe system, use Magnaflow muffler and resonator and get a healthy growl while saving money. Plenty of other options, too.