This has been an on again off again discussion for the past 2 years that I have been reading here.
The consensus is that VW does not do special orders. You place an order and get a car that was already being built with the option package you asked for, or like Pete said, vehicle was redirected to your dealership.
Honestly, there aren't too many changes you can make to an NB.
There are only two stereo options (if that any more). You can add a CD changer or Phat Box, which is installed by the dealer.
Xenon lights weren't available until 2005 I believe, and probably regular halogens won't be available for much longer.
Only a couple of color combos for interiors.
Sunroof, no sunroof, convertible
2.0l, 1.8t, TDI. Now even fewer engine choices.
If there is a particular combo that is really unusual, then it would probably take some time for that particular car to come off of the assembly line, and if it is not a combo that VW would do in the course of the process, then they make a special consideration change, but I suspect that it wouldn't happen.