Engine oil: Mobil 1 0W-40 Synthetic (datasheet)
Power Steering Fluid: Pentosin CHF-11s (datasheet)
The Pentosin fluid is a mineral power steering fluid - using anything else is a pretty good way to ruin the steering rack.
Brake Fluid: Valvoline DOT 4 (datasheet)
Pretty much any DOT 4 brake fluid is fine for normal uses (if you're the track type, this entire website probably isn't for you :). The Valvoline fluid is widely available and has a wet boiling point of 343° F (dry boiling point 503° F).
Automatic transmission: OEM fluid, Valvoline MERCON V, Quaker State/Pennzoil Multi-Vehicle ATF (datasheet)
The OEM ATF is Esso LT 71141 - you can find more information at the ATF/filter replacement page. The Quaker State/Pennzoil is a confirmed suitable replacement, and inexpensive (around 1/5 the price of Esso LT 71141). ZF transmission owners, rejoice! :)
Update - Valvoline MERCON V has also been confirmed as a suitable replacement. (manufacturer statement)
Note that Redline claims that their D4 ATF is also compatible with the ZF transmission, but also note that Redline has made recommendations in the past that led directly to transmission problems.
Manual transmission: OEM fluid, Redline MT-90
The Redline fluid works fine for the manual transmission, but a common complaint is harder shifting in cold weather where the VW fluid was fine.
Coolant: Pentosin G12 (OEM), Prestone Extended Life
There's been quite a bit of discussion over the suitability of coolants other than G12. The main point of contention is the idea that G12 is the only coolant that will prevent corrosion in VAG's aluminum engines and not put unnatural wear on the water pump impeller. VAG's position has always been that G12 is the only specified coolant for their engines, which has been a major point of support for sticking with it. But there's more to the story...
The various OEM's, including VAG, have always made very specific recommendations for their cars, creating a "manufacturer knows best" mentality among owners. It's important to remember, however, that VAG has held and still holds some rather questionable positions on their cars.
For several years, VAG's oil recommendation for the 1.8t engine included both conventional and synthetic oils, despite the tendency of conventional oils to break down earlier than synthetics in engines with a turbocharger. Combined with long service intervals and owners stretching even those intervals, it's little surprise that there are sludge problems showing up recently (of course, VAG isn't alone in this - Toyota has been having a problem with sludging as well).
VAG has also specified that their automatic transmissions are sealed and contain a lifetime fluid. This is an interesting position, as the manufacturer of the fluid gives a service life of only 75,000 miles. Past experiences with automatic transmissions (that changing atf at 30-60k intervals significantly extends transmission life) were thrown out the window, based on the lifetime recommendation. Aside from taking a common sense view (that VAG probably doesn't perform magic on their transmissions and fluids), anecdotal evidence has shown several instances where the transmission was exhibiting unusual problems that were fixed with a fluid change. Eventually VAG redefined lifetime to mean ~100,000 miles.
VAG's previous coolant, G11, was also specified as lifetime - at a time when other conventional coolants (dyed that wonderful radioactive green) had a two year service interval. It was a recommendation that led directly to problems with corrosion and head gasket leaks.
VAG switched to a coolant with an organic acid additive package when they released G12 (also given a lifetime rating). Several other organic acid coolants were showing up as well - the most controversial being DEX-COOL. For a long time, DEX-COOL was widely regarded as a death sentence to radiators everywhere, creating sludge in some models. Ultimately, however, the problem wasn't DEX-COOL itself, just poor implementation in several models, low coolant levels, and mixing DEX-COOL with conventional coolant - essentially negating any corrosion protection the coolants were supposed to provide.
Cool Profit$ Magazine - GM & Texaco "Bare All" About DEX-COOL
Aside from an overly optimistic lifetime rating (most OAT coolants specify a 5 year/150,000 mile interval), G12 is similar to other OAT coolants (excluding hybrid OAT coolants). While each of the coolants has a slightly different additive package, it's unlikely that the differences are anywhere near the magnitude required to cause problems between different cooling systems. The Texaco-Havoline Extended Life coolant data sheet is interesting, as it specifically states that the coolant meets Volkswagen/Audi G12 specifications.
There is only one critical issue with the OAT coolants - they should not be mixed with each other, or with conventional coolants. If you need to top off, it's important to use the same coolant currently in the system. When switching to a different coolant, the system needs to be flushed before adding the new coolant. Fortunately flushing a system is rather easy - coolant flush procedure.
So why all the fuss over which coolants can be used? The price difference is negligible - the reason why I've switched to a different coolant (Prestone Extended Life) is because of it's wide availability (and partially simply because I can). I often take roadtrips, and in case of trouble, the prospect of having to hunt down a VW dealership in the middle of nowhere isn't appealing. (Adding just water works fine for the short term, but the entire system would need to be flushed and refilled to restore the 1:1 ratio later on). In the four years that I've run the coolant (over two cars), there has never been any hint of corrosion.
For a quick overview of coolants in general:
Motor Magazine - Keeping It Cool (08/1999)