I also run my GTi on Shell's finest fuel - V-Power and I collect the money off fuel vouchers which all helps.
My previous two cars - Volvo S60R - I chose to run the car on the higher octane fuel. This was because when I ran 95RON the engine was much more rougher, not as refined, slower and did not drive right. As soon as I ran a tank of the 98/99 Shell through, it was like I have a new car.
As that Fifth Gear test shows, some cars are not meant to have the higher octane fuel, whereas some take great benefit from it. Its like I don't run very well of fast food, but give me a proper home cooked meal and I fly. You get the idea.
If you are unsure of what fuel to use, look in the cars owners manual or on the inside of the fuel flap.