[Ryland]

If you really want to go to an extreme and mod a VW, get one of the convertibles and put a Diesel engine in it, the car you have is a unibody and cutting in to the body will make it weak, convertibles have a stronger sub frame, of course the draw back to a convertible is that they tend to weigh more because of the reinforcements that are needed when you don't have a roof.

I agree with what everyone else has said about not making mods that can't be undone, after all you have a car that when it was new had an EPA rating of nearly 60mpg while being a 4 door hatch back.
But if you really do want to make your 1,900 pound car lighter, I'd start with unsprung weight.
You are also going to see an improvement with better/faster glow plugs, a block heater and smoothing out the underbody air flow.