As above. The chip will give you the most benefit. Exhaust change may or may not work - it really depends. I think Northside 4x4 showed us a dyno chart of a 2.5L diesel running the standard exhaust vs a 3" exhaust and the change was so small it wasn't worth the expense - but I can't recall if that engine was chipped or not.
There are a bucketload of things you can do, including (not all of these are recommended):
* EGR block
* Chip
* Larger exhaust
* More efficient intercooler (eg water-to-air)
* Larger turbocharger
* Petrol injection
* LPG injection
* Water injection
* Alcohol injection
The problem with large power increases is longevity and reliability. While our diesels are strong, they aren't KW engines and the more you ask of them, the shorter their lifespan will be (and that includes the entire drivetrain).
If it's for 4WDing, you might consider getting lockers to improve traction. A front locker is absolutely vital, as a spinning front wheel landing hard will almost certainly cause damage to the front axle assembly (CV, axle, diff).
Fitting a catch can won't boost your performance but will remove some sludge from the air intake, so it has a longer-term benefit. Clean your intercooler out (with petrol) afterwards (and let it dry!) to remove any sludge from inside it.
Anyway, if you're interested in power first, take a read of
this thread by Northside 4x4. It goes into fantastic detail about the available chips for your car and that's really where I'd start if I was looking for more ponies.