MK5 golf was the first golf to have relayed headlights, you will however have a relay for high beam.
Mk 1 and 2 and possibly 3 appreciate the upgrade more as the wiring is weaker in places in my opinion, especially with higher wattage bulbs (although illegal but not as bad as HIDs if setup correctly)
You must not fit higher wattage bulbs without a relay system in place.. I have witnessed first hand what can happen. FIRE
You won't necessary notice much difference on their own, you may notice it better when your alternator/battery are running more than just lights. ie less or no dimming if thats an issue
Then again, mk4 being quite a modern car you may not notice anything at all with standard bulbs with relays.