I'm with Xtreme on that one. If your not boosting the heck out of the stock HG, and not running lean causing detonation, you should be fine on the stock HG.
Now the lecture:
1) Don't run low on oil. (Great way to ruin your motor. Almost EVERY rod knock problem I know of was the result of low oil. And it only takes being about one quart low to create a problem. You can run one quart over full, and not have any ill effects at all. so why not run 6 quarts in yours?)
2) Get new plug wires, plugs and make sure you gap your plugs. I like to run mine at .28 because they don't misfire at high RPM and boost.
3) Ditch the 2.5" exhaust. It's a very limiting factor, and will cause your engine to run hotter than it should have to, and be slower as well. (The best setup is 3" from the turbo back to the tailpipe. No stock elbow's need apply, no cats if you don't have to run them for emmisions.)
4) Flush out all the coolant in your system, and replace it with new. (Mix it right, 50% or 70% depending on how cold it get's where you live, I like a 70% mix myself, but have found 50% is fine. I also use the 100 mile/5 year coolant. It is not much more, and works better to protect your motor longer, so It's worth it.) I found taking out the radiator completely and flushing it out with a hose is a great way to clean it. Also your going to find a huge garbage dump of leaves, dog hair, bugs and other crap stuck to the radiator. I've actually seen MK3's with a huge "lint" mat of this crap that were suffering from cooling problems, and after it was cleaned out, no more problems. Easy fix, and it's free. (You just have to do the labor.)
Radiator, fan and shroud come out nice and easy if you have a friend help you. Take off the upper and lower hoses, any trans cooler lines if your an auto, and remove the 4 nuts on the fan. Then slip the fan off the water pump, and lift the entire thing out at the same time. (Radiator/shroud and fan) You are going to also need to unhook the electrical fan plug on the engine side. Take care not to lift by the shroud. Lift the radiator, and leave the shroud bolted to it untill you get it out of the car.
When your done, replace any foam that is gone, or torn. (Home Depot sells closed cell weatherstrip, use the good stuff, and you don't have to replace it again.) Figure about 9.00 USD or less. The cheap stuff works, but wears out and absorbs crap because it's open cell. The good stuff is smooth on the outside.
Good luck, and you should only need to do the compression check if you think after you do the tune up that there is a problem. (You need a warm motor anyway, and a fresh battery, or charger hooked up to your battery when your doing the compression test.)