Don't go to the dealer unless you bring lube. Any A4 chassis (NB, Jetta, Golf) shifter will work. The only difference between the NB and Jetta/Golf is the plastic shifter frame where it snaps into the center console. You can just swap that piece over easily.
I have an Audi S3 style shifter, they are available with 5 speed tops and are black perforated leather with red, grey, blue or beige stitching. Very nice feel to it.
Got it from this guy:
FS: Black Leather/Chrome Shift Knob and Boot HOT!!!!!!!!!!!! - TDIClub Forums
Email (and Paypal) address:
gerwazy@optonline.net
How it looks compared to stock knob:
