Having done a complete dash bulb replacement on my 2.8 TDI, this might be useful for anyone wishing to do the same, but not sure where to begin.
Not a particularly difficult job, but can be rather fiddly, therefore it's recommended that if you only have 1 bulb blown, check for others that are turning black and replace them at the same time.
You will need:Phillips screwdriver and phillips screwdriver with stub handle
Small bulbs - Halfords number 286 (approx 23 needed for full bulb change)
Large bulbs - Halfords number 504 (7 for full bulb change)
Pen and paper in case you need to write down how plugs and things are laid out

So to start with, you will need to remove the three screws that hold the dash top cover
Left

Right

On some models there is a screw on the top of the cover, just under the windscreen. This is where the stub handle screwdriver is needed. Mine didn't have a screw here, but I've seen a 2.5 with one here, as indicated by the arrow.
Top

Now you can pry the top cover off, but REMEMBER, there are plugs connected to the switches so don't yank at it.
Now you need to unplug the rear screen demister, hazard light and fog light wires (and any extra ones if your model has other switches). Might be worth making a note of their orientation/location if you're a bit unsure of how they all connect back up (this is where the pen and paper come in handy)
Hazards and demister connectors

Fog light wires

Now you have the top cover removed and you're ready to unscrew the clocks. Three screws as indicated by the arrows. Be careful not to drop the screws as they can fall out and get lost.

Now
gently pull the clocks forward but BE CAREFUL. This is where it gets really fiddly.
There are 4 snap connectors on each corner at the back of the clock panel, at a 45 degree angle. The wiring is probably quite short for these so it's a bit difficult to get your hands in to disconnect. Nimble fingers work well here! (Couldn't get in to take a photo as it was just too tight). Again, might be worth making a note of which connectors go where for when you have to put it all back.
Once disconnected you can lay the clocks down and you have access to the bulb holders (the little black knobs)
FYI - The yellow arrow indicates the auto box lights and the red arrow points to the green 4wd lights, which are the most common to blow.

Each holder is turned anti-clockwise to remove. The bulbs just pull out of the holder, but they can be difficult to release - the small ones in particular. Funnily enough, a rubber marigold often works well for gripping the bulb to pull it out, or a gentle tug with a pair of pliers can work - just be careful not to break it or you'll never get it out!
Pop a new bulb into the holder and replace it where it came from. Then just reverse the above process to put it all back together - taking care to connect all the connectors and wires properly.
Then all being well, you should have a fully illuminated dash!