Let me preface this by saying, we're going to talk about bigger brakes. I don't want to start a big debate/discussion about better brakes, this is just about bigger brakes
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To increase the size of the front brakes the first thing you would have to do is replace your front "knuckle". The MKIV TDI and 2.0 (gasser) comes with a 280mm front set-up with the caliper carrier fixed to the knuckle. Once you do that, you're open to most all the front options I mentioned above, plus you also open up to a few aftermarket and other OEM calipers with adapters. But these still require the knuckle that supports the removable carrier.
Some like to swap the knuckles and go for the 288mm rotor/caliper & carrier set-up. This is commonly referred to as the 1.8t/VR6 set-up, as it came stock on most 1.8t & VR6 MKIV's. Some variations of the 1.8t (& the TT MK1) came with a 312MM front set-up, which was the same knuckle (different for TT) and caliper, just a "taller" carrier. This is probably the 2nd most common (the 334mm/R32 set-up benmarks went with is fairly rare, due to price and used market & future rotor prices).
Another option is the 1.8t/VR6 knuckle, the 312mm rotor, adapters and Brembo 4 piston calipers (fronts from the Porsche Boxster non-S).
That doesn't cover all the options, but touches a few of the more common front bigger brake options using mainly OEM parts. There's a HUGE thread over on VWVortex that goes into detail on many more options.
For the rear, it's typically the "vented rotor" caliper and carrier, that support as the 256x22 rotor. Some of the 1.8t MKIV (2oth AE, 337, later GLI, etc.) used these, so they bolt right up to the MKIV TDI. If you get the vented rear caliper with an AWD carrier, ECS makes a set of spacers that run about $25-30 to offset the caliper/carrier combination enough to allow them to be used on FWD car.
There are also some more aggressive options (280 or 288, using the MKIV smaller front rotors, but need a daters and then you get into e-bake cable stuff, blah, blah, blah) for the rear too, but this is the most common "bigger" rear.
I had rounded up soooooooooooooooo many different pieces over the years, even 18z's at one point, but now have a TT with the same set-up benmarks showed (expect not blue & no rear bracket/spacer) and just don't see me doing anything except possibly going for a lighter 2 piece rotor set-up ... once I use up all my spare parts.
Hope that helps.