as said manual transmission only. The older automatics have valvebody issues where they lose OD and Reverse. I drove one for 8K miles like this though! Still got 38mpg highway with no OD going 65mph!
'96-97 models were lighter and easier to get 50mpg+ highway but old body style and crap interior.
'99-02 were bettter and get 40mpg city and 45mpg mixed. 50mpg if you drive under 65mph all highway. I got 54mpg one tank on a long trip.
they like to eat window motors/regulators and they are $300+ in parts to fix. Other electrical quirks too as in gobbling glow plugs, glow plug harnesses, etc.
I believe the '03-05 models had camshaft issues (you need to confirm the years) which means they need to be replaced. Otherwise they are great.
Also if they need a fuel pump which is about $1K you have wasted all that $ saved by not simply buying a more reliable Japanese car

If you do more than 20K miles a year... it is a wash. If you do less miles the TCO will be probably higher with the European car.
VW's and all European cars need the suspension bushings/arms replaced about every 80-100K if you want decent handling
For your parts needs I always call Aaron @ BoraParts.com for just about anything.
The Jettas get better gas mileage than the Golf/GTI due to aerodynamics even though they are heavier.
The new Audi A3's will not get 50mpg going 75mph even with a tailwind. They don't get as good of fuel economy as the older ones due to emissions and them being heavier cars.
www.tdiclub.com is a good place to learn more. A Ventectomy also allows 2 more gallons of fuel in the tank effectively allowing you go to another 80-100 miles.