I had EXACTLY the same dilemma when I bought mine not that long ago.
If you do a search from about 6 weeks, back you'll find my Thread asking pretty much the exact same question!!
I then decided that I had modded all of my last 5 cars to some degree so why should this be any different.
Swapped DPs, for a set already gutted (OEMs now for sale

)
Swapped the system for a QST/Scorpion (OEM now for sale

)
Had MRC sprinkle some magic dust on it, and hey presto an extra (almost) 100bhp and I guess a corresponding amount of torque
The car is in a different league, put simply.
It's hard to explain coherently until you've actually been in one that has been modded, not sure if you have?
It literally wants to take off. And sounds like a jet too...
Having owned it now for a 6-8 week period, I would definitely recommend sorting the front brakes out. The OEM ones are ok, but they're really not up to hard driving. I'm in the process of upgrading my calipers (pick them up tomorrow), but also need to source the right discs for the upgrade to work (need a slightly smaller diameter disc).
I would also recommend the Hotchkis or H&R ARB setup. Do a search for 'ARB'...
Depending on the state of your car you might want to think about changing the suspension too.
I've added wheel spacers to mine (10mm, but have also buying 15mm ones) I'll be considering the ARB setup in a while probably. May also swap wheels, but not that concerned about the OEM ones really. I've also had the front re-sprayed to get rid of stone rash - much prettier now
Where abouts are you? There's usually someone who not that far away willing to maybe take you out for a spin...
B5 S4 Saloon Widebody Track Car.
B5 RS4 - now sold.