This was one of the first things I did to my mk4, it still amazes me how much clarity the DAB gives.
My favourite station is 6 Music, a few times they have played a to a track that I know inside out from CD on a decent hifi, and each time I heard new parts to the DAB played track... and that is just using the stock Mk4 speakers!
In general, you get a "stick on" aerial for inside the windscreen with the head unit, but for the best reception, a DAB roof aerial is best.
The problem with DAB is it is not widespread around the world, so there is not that much choice of hardware out there and this keeps the price higher than non DAB heads.
Best site I found is
http://www.dabonwheels.co.uk/ they have a lot of helpful information and they are not too bad price wise.