If your headlights are cloudy or dim, they may benefit from polishing the lens. See 1000q: headlight lens polishing for more details.
See light bulb reference guide for correct replacement bulb: 1000q: light bulb reference guide
screwdriver or pliers
Caution: do not touch the bulb glass with your fingers. Grease and oils from your skin will damage the bulb. If you do touch the glass, wipe the bulb clean with rubbing alcohol.
Pry the 2 metal clips towards the outside edge with a screwdriver or thin pliers. Note: in these pictures, the battery box and intake have been removed for clarity.
Unplug bulb, replace with new bulb.
This is best done at night. Park your car against a flat, even surface such as a garage door or wall. Note where the light beam falls. Turn the screw to adjust. That's it!
This was shown on a VW Jetta TDI. The VW Golf TDI should be very similar. If you have any tips, please post in the forums. You can also search the site for more DIY below: