I went for a Neuspeed P-FLO which comes with a metal shield to keep the filter cool. It works great and after a thrashing, the shield is very hot to the touch but the filter is still cool. It's costly though, I think about £180 now but I bought mine when they were a little cheaper at about £150 from Awesome GTi. I think the cr@ppy exchange rate from the $ - £ are pushing U.S manufactured parts up a bit over here.
Other people have gone for a Jabbasport one, same concept as the Neuspeed but i think its about £220 or you can go for any of the usual brands that you'll pick up in Halfords etc like K&N, Piper X & Green but these won't come with a shield.
Have a look at mine here...
http://www.seatcupra.net/forums/showthread.php?t=208835&highlight=jason's