The cheapest new lights are about ?80+VAT+del from an online VW parts place (Eurocarparts, VAGParts, etc)
You will have to remove the front bumper to get the change the headlight unit (not too difficult with the aid of a haynes manual)
I've got a spare pair of headlamps taken from my 2000 GTI - If you're interested in a second hand unit (in perfect order) then drop me a line (golfstuff@tiscali.co.uk), I'm looking for around ?50 each inc delivery
Chris