Did a long distance drive in mine yesterday, and at one point it got up to 40 MPG. I think that's pretty good.
Average though is more around the mid-30s.
Driving style counts for a lot though - in general I drive sensibly and have avoided "spirited" sessions thus far.
Also I noticed that the GTI prompts you to go up to 6th gear even at just over 40 mph, which is what I've been doing.