Going back a bit, but I bought my previous mk5 gti through orangewheels.com in 2008. Got a sizeable discount, and px was ok but it was another golf gti. As monkeyhanger says, you may take a bit of a hit on part ex. Overall it was a great deal, the broker experience was painless and smooth, no hassle whatsoever. Had to travel to Macclesfield to collect from dealer but was a nice way to give my outgoing car a farewell run and nice introduction the the new car. Had tried my local dealer first but they had zero interest in selling me the car I wanted, as opposed to what they wanted to shift.
I'll be in the market for a mk7 R in 2015 and if the dealer won't play ball then will definitely look at using an online broker again, most likely drivethedeal. Broker deals are treated as fleet sales which is partly why discount levels are good.