Also, is a Fram oil filter ok or should I spend the extra $ and get an 'approved' one from the dealer. I guess if I buy the filter from them they'll have my records on file should any warranty issues come up.
The fellow who runs this website has done a lot of research on oil filters.
http://minimopar.knizefamily.net/oilfilterstudy.html
http://minimopar.knizefamily.net/oilfilters.html
The second page contains his conclusions. He definitely does not like Fram filters. He does not care for Bosch. He thinks Purolater, STP, Mann and Wix are okay.
Several months ago there was a discussion about Wix filters. Most of the comments were favorable. The NAPA Gold filter is a Wix filter.
Also, several months ago there was an extended discussion about the plastic dams that are found inside some oil filters, but not others. The plastic dam runs about half-way up the inside, and holds oil inside the filter. When you start up a cold engine, if there is already oil in the filter, then you get oil to the engine just a little bit faster. So whichever filter you get, make sure it has the plastic dam. And when you install it, make sure the end with the dam is down!
I have no opinion regarding air filter alternatives. From what I have read, the VW part is perfectly fine, if it is installed correctly (so that no dirt gets past the edges).
Concerning fuel filters, I have upgraded to the CAT 2 micron fuel filter, as I plan to keep my TDI for a minimum of 300k miles, and hopefully more than 500k miles. The filtration is better, the filters cost less, and they don't need to be replaced as often.