You'd need quite a few things. The sensors, harnesses, electronic controller, the entire heater core assembly behind the dash and some other things. I have a full swap in nyc if you're interested.
In 2003, you could get Climatronic on a Jetta GLS wagon by getting the Wagon Premium Package (which also included leather, power seats, auto-dimming mirror, fog lights, MFA, rain-sensor wipers...), but only with the 1.8T engine. I'm guessing that it was the same for 2002 models.