i picked up a b7 s4 right before xmas and i currently have labree fullback exhaust. downpipes and catback. i absolutely love the sound. its catted and resonated.
I'm going with a jhm 91 oct tune soon along with a k&n drop in. the K&N is only 50 and easy to install yourself.
I've heard marvelous things about the JHM tune so i'd do it if i was you. but i heard the tune is only effective if you have at least pigges. so id say exhaust first