Mk2gti8v - i'd go straight for the plugs, leads, distributer cap and rotor arm - cheap and easy to do yourself (get a haynes manual aswell if your unshure)...
I reckon one of these is the most likely cause, but changing all at once is always a good idea..
U could also chuck some injector cleaner in your fuel tank...
See if this lot works first, if it doesn't then look into fueling or other ignition problems..
a new fuel filter is cheap too...
golfgal - a new coil isn't expensive and is also easy to do yourself...
happy fixing people....
