this question gets asked alot... try some searching on this section, should come up trumps hopefully.
in the mean time, dont just assume its an electrical fault.
check all the connections under the bonnet (im gonna presume you have a 8v digi) one pressure sendor on the oil cooler, one on the right hand side of the head... if they look at all dodgey, change the connectors. failing that, check the wires for breaks etc...
if that doesnt solve anything, you can do one of two things... change the suspect pressure sensor (think its the high pressure one which is on the oil cooler(if i remember rightly) that sets the buzzer off. only get these from a main dealer though as the Euro-car-parts and GSF ones are pants apparantly. not majorly expensive...
or, if i were you i'd have the engine pressure tested, make sure it isnt building up too much pressure or not enough, and this way you will know if its anything major, or just a simple case of a dodgy connector.
if it is building up too much pressure then this can cause serious damage to the engine, and you wont want to be driving it until its sorted! so get it to a good VAG garage and they will advise on the best course of action...
hope this helps some...
Rob