Ahhh the dreaded mk3 problem

Its amazing how many people (including myself) have had some variant of this issue. To summarise the whole thread for you a bit it will basically say:
Change both ECU and Fuel Pump Relays (seems to be a very common fault and easily overlooked)
Check Crankshaft impulse Sender (aka Engine speed sensor)
Clean Throttle Body
Check / Repair any blocked or damaged breather pipes.
Check Hall Sender / Distributor
Check Coil Pack
Check Ignition Switch
The Crankshaft impulse sender was the problem with mine and i discovered it by running a system called vag com on my laptop with a cheap lead from ebay (about £19). If your stuck for answers i suggest you buy one as it might point you towards the fault, it saved me loads of money as i didnt need to take it to a garage to diagnose the issue.
Good Luck!