You mean the indash CD, or a CD changer?
If you mean the indash CD, the only thing you need to find out is whether you have the Monsoon or non-Monsoon setup currently. A Monsoon cassette deck is usually marked on the cassette door with the Monsoon logo. It will also typically spell out MONSOON on the LCD display was it first wakes up (ie - when you first start the car). Non-Monsoon units will have none of these.
Monsoon cassette headunits must be replaced with Monsoon CD decks. And non-Monsoon cassette headunits must be replaced with non-Monsoon units. Other than that, there's not much else you need to be concerned with. Once you know which setup you have, there will be only one choice for you to buy.
If you mean adding a CD changer to your existing cassette headunit... there are two OEM changers... one that goes in your trunk if you have a 1998-2003 (or a 2006), and one that goes in the center console if you have a 2003.5-2005 (or a 2003-2005 convertible). Regardless of whether you have a Monsoon or non-Monsoon system.
If you're looking for an after-market changer... you don't have a lot of options. Some people have been able to get Pioneer-branded changers to work (that's who made VW's changer)... others have not. I think Crutchfield sells one other after-market changer that's plug-and-play (USAspec, maybe?)... and I think they sell a couple of adapters for other makes... but, really, OEM changers are pretty cheap nowadays (a lot of people are moving to MP3 instead), especially on eBay... so there's no reason to put up with the headache of an aftermarket changer in the first place.
And, yes, a new CD headunit will come with a security code (or should). You will need it, since your car will not be the "home car" for the unit it will not be able to handshake automatically.
A changer, though, will not come with a security code. It's security system piggybacks off of the headunit.
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