Yeah, they are pretty pricey. Definitely check out that light before you purchase any parts.
If you are a do it yourselfer and will be keeping the car for a while, you may want to consider this software and interface:
http://www.ross-tech.com/vag-com/index.html
It is a bit pricey as well but I picked one up last year, and it really is good stuff. If you would rather not spend that kind of money on diagnostic equipment a code scan is usually around $35-50