Yeah, the VR6 engine is a popular option for the Mk2 because they're generally cheaper than the 1.8T (from the Mk4).
If you did the swap you'd need the engine, loom, gearbox, uprated brakes and suspension (to cope with the weight and power), to mention just a few.
It can be done at home to save money, check out Rob119's project to see how he did it:
http://www.golfgtiforum.co.uk/index.php?topic=27432.0The 2.8 VR6 from is fairly easy to find because it was in the Golf, Sharan and Passat, but it's (only!) 174bhp.
The 2.9 VR6 was only in the Corrado, so more difficult to find and may be more expensive because of it, but it's 190bhp.
Although you could bore out the 2.8 to 2.9 or even 3.0L .
If your current Mk2 shell is in good shape, then spending £1000 on an engine swap may not seem like too bad an investment, particularly if you take the opportunity to update the car with bits from the Mk3 like the dash.
But when you come to sell a modded car, it's unlikely you'd get back the money invested unless you find an enthusiast.
You could always look for a Mk2 that's already had the engine swap to avoid the hassle or just buy a Corrado with the VR6 in it as VW intended.