Quick disclaimer :-I'm running 2.5TDi Quattros, they should be similar to yours, if not the same
Try Jason at All German Parts for any bits, he'll sort you out and most bits are guaranteed, and all of good quality.
The front were about £50-ish, the rears £25-ish for mine. Don't get pattern makes, I have just redone 3 of the 4 bearings on Mrs PaulFs car after fitting (not cheap!) ones from the local factors over the last year.
It's ok to do, but if you are using a press you have to remove the front hub, which gives you the lovely job of the dreaded top pinch bolt. There are a few guides showing the front being done in situ, but I haven't managed. Last time I snapped a 24mm threaded bar trying.
After reading all the trouble people had removing the ABS sensors, I didn't remove them. I just unplugged them. The rear sensors are connected under the rear seat.
When removing the rear hub, mark the position of the eccentric bolt and washers before removal. If possible, you may be as well buying the 4 bushes and 2 eccentric bolts and washers while you are at it - they were shagged on both my cars.
Both front and rear bearings have a step in them, check before fitting you have them the correct way around - it will prevent a 'DOH!" moment later.
Again, if you can, get a 4 wheel alignment done afterwards - especially if you have changed the bushes and washers
