I have just had to do mine so I thought I would do a brief guide as there does not appear to be one. It may not be the best way but worked for me and saved me £'s. I don't have any pics at the mo but I will try and put some up. The Haynes manual is very useful, and has good pics.
1. Remove the wheel and support car on axle stands. Put the car in reverse
2. Remove R clip from centre of hub and remove cover.
3. The hub centre nut is 35mm socket, so you will prob have to go buy one like I did. I would also say you will need a power bar as this is very tight.
4. Get a mate to stamp on the brake and loosen the centre hub nut, be careful that the socket doesn't fly off and you end up on the floor minus some skin off your knuckles!
5. Undo the brake caliper, you need a 13mm socket & a 17mm spanner. Put the 17mm spanner on the hold the bolt and undo the 13mm bolts, There are two of these. Slide off the caliper. Remove the two wear indicator wires, wiggle off the caliper. Hang the caliper off the spring with some wire, don't stress the brake line. Remove the pads.
6. Undo the caliper holder, two 19mm bolts that are f'ing tight as they are held in with thread lock.
7. Remove the brake disk, two torx screws and its off.
8. Undo steering arm joint, one bolt
9. Undo bottom ball joint. If like me you can't seperate the balljoint with a crowbar, then undo the three bolts and slide off lower arm.
10. Remove the ABS sensor, black piece of plastic. 10mm bolt to get the cover off the unscrew the bolt, the sensor wiggles out of the hub, do it gently.
11. Remove the bracket on the top of the hub that hold the wires/cables. Small spanner
12. Undo the hub centre nut.
13. You now need to slide the driveshaft out ot the hub. Pull the hub towards you WHILE HOLDING THE DRIVESHAFT. Do not pull the driveshaft as if you pull it out of the box you will have oil everywhere and another job! Its a bit of a b*tch but does come off.
14. Undo the bolt that holds the hub onto the strut. Seperate the collar with a large screwdriver and the hub should be off. (With some brute force!)

The hub bearings are pressed in at a force up to 10 tonnes so its best to take the hub to a local garage to have the old one pressed out and the new one pressed in. It only cost me £15 so its not expensive. A wheel bearing kit is about £25 from a factors.
Refitting is a reverse of stripping it down.
Note; all of the bolts you remove have ny loc on them. You are supposed to buy a new set of pre treated bolts, or you can do what I did and use some thread loc, just check all the bolts after about 50-60 miles.
Hope this helps!

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Although it's no longer available new, it's worth trying to get hold of a good example second-hand. As GTi's get tubbier and cooler, it's nice to remind yourself of why insurance companies hate hot-hatches so much.-Top Gear on the 6 Apr '01. Black 6