Get your cheque book ready....
Turbo
Wastegate
Intercooler
Turbo Manifold
Downpipe
Wastegate Pipe
Fuel Pressure Regulator
Injectors
Fuel Pump
Boost Control Solenoid Kit
4 Bar Map Sensor
Battery Relocation
The exhaust stuff I doubt you can buy off the shelf, and will probably have to get made to suit. While your at it you will need better brakes, clutch, probably a flywheel, fit an LSD while you have the gearbox off. Also personally I would go for the AEM ECU over the Kpro.
Have a read through my build thread, there is a detailed list of parts on page 31.
Personally I would save up and get it done all at once, TDi North do a street kit for less than £5k fitted.