Limp mode is triggered by over boosting for a period of time (about 5-10 seconds). This is the most common issue. its usually caused by a bad vac (boost) line to something that causes the waste gate actuator to not work properly when commanded.
Common issues and the fix for them.
Vacuum lines or boost lines: Inspect or replace them all. usually 3mm, 4mm and 5mm hoses. dont use cheep ones, get quality silicone or VW braided lines from IDparts.com or where ever. Not sure about your ECU but on MK3's there is a boost line going into the ecu and inside the ecu to the MAP sensor and it needs replacing too, if you have one.
N75 Valve: you should have a slight clicking from it, kinda like a CCV valve. some times you can clean them, they are not very cheep ($75) for an OEM. usually replacing it is best.
MAF: this is the sensor on the intake air duct right after the filter. ONLY CLEAN WITH MAF cleaner. A cold air intake usually is the culprit for killing them. Check out this link to understand why. Disconnect it and if driving conditions do not improve then its bad. (only after you make sure you have no boost leaks and all your lines are perfect shape.)
http://forums.tdiclub.com/showthread.php?t=290373
Boost leaks: Check all your pipes after the turbo to and from the intercooler and to the intake manifold. take them apart, and put back together to make sure no cracks etc. inspect the intercooler too. You will see some oil on the pipes. Its normal. Just wire off the parts your connecting with a light amount of brake clean on a rag. DO NOT spray it into or on the pipe. it could cause a temporary runaway. Happend to me lol, i was lucky, kinda.
When you take your intake pipe off the intake manifold, inspect the intake and see how much soot and crud is caked up. This is caused by the CCV (crank Case Vent) it mixes with the EGR (Exhaust Gas Recirculate) and caused crap to build up. A small amount is ok. Recommend a EGR delete and a tune or hack to remove the CEL (Check Engine Light.) This wont cause limp mode unless its Really bad to the point of causing an over boost. the ECU knows the engine to take in enough air and charges the turbo to supply. This is very uncommon but eh its worth a look.
thats about it. Fix and inspect those items. in that order one at a time with test drive in between to make sure you dont jsut thorw parts at it.
Get someone with VCDS and a VAG-COM connector, or you can autozone it with one of the diagnostic computers they lone you, or a amazon Bluetooth OBDII device. Look up the code you are getting. Limp mode usually does not trigger a CEL (check engine light.)