Everyone has an opinion on this so you wont get conclusive advice here. My tupence worth - the VW recommended oil for 1.8T engines is 5W30 fully synthetic, I have yet to read compelling enough evidence to go for anything other than that. Whatever you go for though make sure its good quality stuff, Castrol / Mobil / Millers / Quantum etc and not supermarket or Halfords specials, I think that would make a far bigger difference than going to 5w40 or 10w40 etc.
Wouldn't go for 10w40 when you can buy 5w40 - just as thick at higher temps but thinner when cold for better cold start protection.
In general you're right, the branded more expensive stuff tends to be better...
If you want some reading there's plenty on Opie Oils website
http://www.opieoils.co.uk/t-technical-info.aspx
http://www.opieoils.co.uk/pdfs/tech-articles/Multigrade-Oils.pdf
http://www.opieoils.co.uk/pdfs/tech-articles/Basestock-categories-and-Descriptions.pdf
Yeah I agree, they were just random ones I threw in for the sake of the argument. Thats some good reading there. I read a huge article once about multi-grade engine oil its pretty complex stuff actually and quite tricky to understand, I cant seem to find it now annoyingly. Anyway their conclusion was that unless you have a very good reason not to, just stick with what it says in the hand book.