There's a thread on this in the MK3 FAQ section explaining the different types available and which products give which gains etc etc
If you're after performance gains my advice would be to go for an uprated panel filter like green cotton which will avoid heatsoak. A lot of people also smooth out the insides of their stock airboxes to improve airflow. This will give a slight increase in noise but not as much as an open filter like a K&N.
An open filter will give a lot more noise but may suffer from heatsoak so it's really a trade off on noise and performance. You just need to decide which is more important to you.