For the headliner, there are a few sites that specialize in selling material that is similar to OEM. The headliner fabric has a thin foam layer attached to it, which is also what makes a DIY project very time consuming and messy. You may want to search the forums to see how nasty it can get.
www.headlinerexpress.com
There used to be another site called Headliner Doctor, but it looks like it's dead. However, if you Google "headliner doctor and VW Jetta," various places still seem to sell their fabrics.
Your dealer may still be able to get one too, though some variations are NLA/no longer available. I don't remember which, but there are sedan and wagon versions and with-sunroof and without-sunroof versions. I know at least one is NLA and impossible to find. The dealer cost is probably $400-500.
I don't recommend a headliner from a donor car, because if it hasn't sagged yet,
it will.
For the doors, I'm not so sure. I think that's a thicker fabric. You may have good luck finding the panels from a donor car. Or, someone here might have better info. I have a leather interior so I haven't done research on the door panels.
For a carpet, it may depend on your budget. If it is low, finding a super clean donor car is probably your best bet. If you have $400-500 to spend, your dealer may be a good option because you wouldn't have to pay for shipping like if you bought one from a parts reseller, which can add a lot to the price (which is the same case for a headliner too.)