I had this problem on my MK3 Golf. If it is the Mark 3 then it could be the Module which the coil lead goes into I'm just having a memory block so I can't remeber what its called.
I take it you've checked all the basics e.g. leads, distributor cap, rotor arm.
Another thing that it could be is also the idle . ...... something cant remember the name again come on. Anyhow what that does is it decides on when the spark plugs should get the spark.
What Mark is it?