I did a quick search for MPG on vwdiesel.net:
Stock Muffler & Cat Question
Upgrades to improve MPG's
I think a more free flowing exhaust could help a little. It's too bad the people on that site don't log their fuel mileage...
I also remember a thread on that site talking about adjusting the injector pump internal pressure for better mileage, but that was many beers ago.