difficulty: 2/5
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Introduction
If you would like to add an HID lighting kit into the low beam spot, see 1000q: HID kit installation. Do not install a HID kit into the high beam spot because it's a reflector housing and will have excess glare. Reflector housings don't have sharp cutoffs and can't control light like the low beam's projector lens.
Parts
Replacement bulb:
low and high beam light bulbs are H7.
city light and front turn signal bulbs are 3457A
fog lights are
H3-55W
Procedure
You have to remove some items for clearance. On the passenger side,
remove the 3x phillips screws holding the air intake snorkel. Then pull
the air intake snorkel off. These are outlined in yellow below. The
air intake snorkel is 3 pieces which just pull apart. (the engine cover
and air filter cover were removed in the below picture for other stuff)

On the driver side you have to remove the
cover around the power steering reservoir (yellow arrow, shown after removal of
the cover). It has some plastic clips
underneath, pry them to the sides before pulling it up. While you're here,
check the power steering fluid level. To change the power steering fluid,
use a turkey baster or hand vacuum pump to suck the old fluid out of the
reservoir. Refill it with clean Audi, VW, or Pentosin synthtetic power
steering fluid and start the engine. Turn the steering wheel all the way
to the left and right and hold it there for 3-5 seconds. Then turn it back
and repeat. Shut off the engine and repeat the empty the
reservoir/refill/turn the steering wheel process until the power steering fluid
is relatively clean.

Below is a spare headlight for illustration (the upper mounting
tabs were broken).

Remove the high beam cover by releasing the latch at the top. The low
beam rubber cover just pulls off. The city light
is a small light in the high beam housing. They're always on whenever the headlights are
on but aren't really noticeable unless a low beam is burnt out. It's
mostly for looks. If you have a euroswitch they can be turned as parking
lights.

To release the low beam bulb, first pry away the metal tab ears holding it
down. Then you can
remove the black plastic plug.

Then rotate the metal clip holding the bulb in place. There's an up and
down so don't reverse it. The high beam clip looks similar but can't be swapped with the low beam
clip because they are slightly different.

When you install the new bulb, make sure the bulb is seated flat and both sides of the clips are in place. The rest of installation is the reverse of removal. Make sure the bulbs are flat and locked. Do not touch the bulb with your fingers or get it dirty at all! If the glass gets dirty, wipe it down with a lint free cloth and rubbing alcohol.
If you notice that your headlights are shaking when stopped at a stoplight, you could have excess vibration from the engine, the driveshafts (see 1000q: CV joint replace), or the headlight housings aren't supported well, see 1000q: headlight shake fix on Passat for more details.