This will be a post containing several points and answers that I have read on the first pages. This is from my experience of owning an 02 Golf manual TDI with 340K mi and still getting 50mpg.
Trans fluid that is used should be (from memory but see links below)G50 the new version is G52 do a search for using G52 in an 02J (the manual trans model).
Auto trans
ATF fluid removal, drain, and replacement on VW TDI engines | VW TDI forum, Audi, Porsche, and Chevy Cruze diesel forum
Manual
manual transmission gear oil DIY service and fluid replacement-mk4 VW-Audi | VW TDI forum, Audi, Porsche, and Chevy Cruze diesel forum
Oil I only use Mobil 1 European 0w-40 the cheapest I find it is at walmart and it will have 1 qt extra so every 5th oil change the oil is free. The other oil I have used was Mobil 1 Turbo Diesel Truck 5w-40 and Shell Rotella T6 5w-40. List of TDI oils
Engine oil list for TDI diesel | VW TDI forum, Audi, Porsche, and Chevy Cruze diesel forum
A side note I do 10-15k oil changes my last one was more like 17.5 and I was a little low on oil but I drive 85% highway.
Brakes if you are not losing fluid I would assume the master cylinder is fine. Change the rotors pads and check the lines at the calipers if they are worn replace them. Also make sure to clean up the slide pins on the caliper and grease them. Then flush the fluid with DOT4. You will also need to flush the clutch.
Brake fluid and clutch bleeding and flush - mk3 and mk4 VW and Audi | VW TDI forum, Audi, Porsche, and Chevy Cruze diesel forum
As for the AC Check the fuses on top of the battery and see if the engine fans turn on when everything is set to high. Then check the line pressure if you have pressure even if might be the ring that engages the clutch that is out. That can be tested by jumping it at the connector under the car. That is the step I'm on with fixing mine but I needed to fix my parking brakes first so I could lift the front.
First page addressed.
Is the car an automatic or manual?