my 2000 has only blown 1 glow plug since I have owned it (30k over 2 years) if you are having recurring issues, do a search on tdiclub.com forums regarding the glow plug harness. yours might be corroded and getting bad connections. head to radio shack and get yourself some de-ox-it (about $15).
you can also purchase a new harness pigtail from
www.tdiparts.com iirc. they are a very reputable dealer and I highly reccomend them for all your TDI maintenance needs.
Aaron