This post got a bit long on me, so in summary:

• The steering rack adjuster nut is very stiff, very soft and very sensitive.
• If you must, tighten it in tiny increments.
• At least on the VRS TDI, a regular socket set is too deep to get in there, but a "pass-thru" type socket set (€30 ish) will get in very nicely.
• Extension bars and universal joints are trouble.
• They made it from Aluminium?!
• Proceed at your own risk!

 

So, with a boot-load of camping gear, my girlfriend and I were getting a move on down a smooth looking French autoroute because we were running late for a campsite. At a GPS indicated 130 km/h (By which I certainly don't mean 140 km/h, monsieur Gendarme, non absolument pas) there was vibration through the whole car, which got less as speed reduced, but got worse going uphill or downhill.

 

Have had vibrations before:

• Tyres balanced helped for a while but got worse after a few months.
• Took it back for another balance and was told by the "garagiste" that all Goodyear tyres are rubbish and that I should take some shiny Michelins (Clearly, being French, they are the greatest tyres in the world :-P ). Forums suggest that the Goodyear Fuel Saver tyres aren't great for some diesel FWD cars because the thin sidewalls don't take the front-heavy weight well. I opted for some Eagle F1s, but I digress: The new tyres helped a lot... but the vibration came back after a few months.
• I noticed play in the steering wheel, and eventually found that the telescoping part of the steering column was loose (forums suggest that there is a plastic spacer between the two that wears out fast) so I improvised my own spacer. Again, a few more months of calm, then vibrations as described at the start of this post.
• I checked my improvised spacer: OK. I jacked the car and checked for play in the wheels: OK. I shook the tie-rods and did my best to push and pull on the various suspension elements: Nothing. Asked girlfriend to wiggle the wheel so I could feel around for how far the movement was getting before meeting a loose joint: there was none. So I figured at this point that the wear was probably on the rack and/or pinion.

THE POINT:

• I checked to see if the steering has wear-adjustment like on my old Golf IV and indeed there is the same adjuster nut there (where the steering column enters the rack).
• My ratchet didn't fit on directly (part of the body structure is in the way) so I gave it an eigth of a turn clockwise (like Haynes suggest starting with on older VAG cars) using a socket extension bar and universal joint. This took a LOT of torque.
• Steering was very stiff (although I didn't know how much of this was caused by the worm-gear of the power steering - I should have felt it before hand when it was still "normal") and a test-drive revealed that it didn't self centre properly anymore. So it seems to be much more sensitive than the 8-years-older Golf.
• I tried to turn the nut anti-clockwise but the combination of the aluminium (?) nut and funny angle I was coming in at lead to me stripping it.
• A friend came to the rescue with some toothed "bolt extractor" sockets: Hammered it on, popped a spanner on it and used the trolley jack to turn it anti-clockwise by 1/20 of a turn (there's markings on it that make this possible to measure) and it is back self-centering, though still a tiny bit loose - would like to tighten it again by 1/40 of a turn, but I have no means to do this anymore...
• Part of me wonders if there are still the elements behind the nut for adjusting for wear, or if this "nut" is actually just a blanking plug with a c-shaped sliding-surface on the back, pushing against the rack - and maybe I was just twisting this thing against the rack when it is not intended to, hence the sensitivity and stiffness (Check out this excellent photo of a rack which is adjustable to see what I mean http://www.flyinmiata.com/tech/depower.php?x=5). This being VAG though, they'd surely just have the foundry blank it off, rather than suffer an extra casting and an extra assembly step...

So yeah, proceed with caution.

I've had a horrendous front end vibration (oooh Matron!!) 

Turned out to be an inner drive shaft, tripot type UJ. 

Funnily enough, it evidenced itself in Belgium.

It was a long time ago, not on a VAG.