The front sway bar is a PITA to change out, the rear, is easy.
Changing out the rear sway bar will make the car turn in harder/faster as you're stiffening the rear compared to the front. Adding in the front will put it between stock, and the rear only swap.
Don't worry about the energy suspension endlinks just yet if you've replaced them very recently they'll be good for now, but if you're under there it wont hurt to do them. They'll be slightly stiffer, and they don't break down like OE styled rubber bushings. Make sure they stay greased though.
As for wheels/tires that'll help, obviously grippier tires, or summer rubber will help overall grip, maybe a pair of lightweight 17" wheels with performance rubber, and keep your 16" wheels for winter.
'06 Vee Dub GTI 2 door Tornado Red
- 2.0 Turbocharged, Intercooled, Direct Injected, 6 Speed DSG, Underbody Aero, 17" Classix
- Moonroof, Bi-Xenon headlamps, Interlagos Plaid Sport Seats, 6 Disc In-dash, iPod integration, GTI Monster Mats (winter)
'93 Bonneville SE Purple Pearl H4U package - picked up June 23, 2003, Traded-in June 28, 2007...