Changing filters (fuel, cabin...engine filter change is probably at 60k miles) is easy/cheap on these cars, will save you some. IIRC, the rest of the 40k service is visual inspection, tire rotation.
I'd recommend the oil/filter change (wait for a special?), change filters yourself, and forego the official "40k service". A good responsible tech (yes, they DO exist at VW dealerships) will look over brake linings, and do a visual check, anyway!