The best mpg you can get are with the 99-03. The cars are light and the engine very efficient, and looser emissions. By hypermiling, I once got a calculated (I forget if it was 60 or 70 mpg but I think it was 70 because I've done 60 mpg a few times) all highway. I could barely believe it. Manual transmission, summer fuel, slightly oversized tires, no AC, drafting as close as was safe, and was really trying, that means averaging 60 mph on the highway and letting people zip by as if I were standing still. And of course, some cars just get better mpg than others. That one had higher mpg than normal. Average was more like 48 mixed which is still really good.
Check out the buying guide for 2005-2006 Jetta TDI. It compares them to the newest one. You won't get as great mpg but safety and features are all way up. They do have their problems but they're listed in the checklist. The most I've ever gotten in a 2006 was slightly over 50 mpg and that was really trying. Average mixed driving is low 40s which is still pretty good but I tend to do more highway.