In my experience chipping a NA car, particularly one without any other accompanying modifications doesn't really net much power. If you had some forced induction (turbo/supercharger) then I'd recommend it as the first thing you do, as a simple computer upgrade can make massive gains on those types of vehicles.
CAIs tend to be more appropriate for NA vehicles then forced induction because heat is more critical (turbos and the like heat up the air so much the few degrees difference from the point of induction is nearly useless, and not as benificial as just getting in more air).
Even still I've rarely seen an intake on any vehicle net more then about 2hp without huge amounts of custom computer tuning.
Exhausts produce a bit better results... on Turboed cars bigger is better because you're trying to reduce backflow and keep the turbo spinning as fast as it can. on non-turbo cars however that's not always the case. For a particular RPM range there is a sweet spot for the diameter of your exhaust too big and there is a vacuum between pulses which slows down the exhaust flow (like when you tip a water jug upside down and it comes out in bursts as air needs to back flow up to displace the water) If it's too small, well then you're just restricting it which is just as bad. The idea is to get the right size so that that there is just a slight vacuum between pulses and the exhaust gains a big momentum (it doesn't matter in turbos because the pulses have already been compressed in the pre-turbo section of the exhaust). Most factory exhaust have their sweet-spot tuned for fuel-efficiency, which coincidentally is fairly close to what you want for good torque at a complete stop (because the fuel-efficiency of the engine is the lowest when moving your vehicle from a completely stop). What does this have to do with after market exhausts? Well most of the time they're built to produce the most +HP... and most cars produce their peek HP in the higher RPM ranges, so most of the time aftermarket exhausts will gain you HP on paper, but if you sat at a traffic light with your former unmodified car it would blow away because the new exhaust wouldn't have as much low end power.
My advice to you 
Don't even bother with trying to make your car faster...take that $600 and buy some driving lessons (no I'm completely serious), an educated driver offers the biggest bang for the buck when stacked up against ANY car modification.
I used to auto-x when I was in college. I had my modified WRX, there was another guy with a WRX that had about $30K worth of upgrades including a JDM drive train swap, there was a guy with a modified Audi S4, Camaros, A (real) Integra Type-R... and do you know who always walked away with the best time out of EVERYONE there..
..some schmuck in a late 80 ford escort that barely passed state inspection nevermind tech inspection. ZERO modification, it was rusted out, balding tires etc. The guy was just an amazing driver, he knew when to shift, when to brake, when to accelerate, and he completely OWNED 100s of 1000s of dollars worth of performance vehicles.
I remember one time the guy with the highly tuned WRX let him take it around the course one time... ONE LAP he beat the WRX owners best time by a clean 8 seconds.
That's just my personal opinion, a good solid driving background is something you can take with you no matter which car you drive, and while it might not help you in a straight line, it will improve your performance in nearly every other driving scenario. Not to mention with a good base training you'll have something to build on to so you can keep teaching yourself more and more, essentially for free.
If you ARE hell bent on just buying parts though, I'd say some suspension upgrades would probably be more enjoyable then anything you could do to the engine for $600... Some new springs and sway bars, maybe some cheap strut tower braces will make it feel like a brand new sports car, and being that it's a Jetta it will take to those kinds of modifications much much better then any kind of engine modifications.
I'd also recommend checking out vwvortex.com I'm sure you could gather a whole lot of experience from others that have bought upgrades... what worked / what didn't for them.
