I have an 04 GLI and receintly started having problems with my headlights turning on. I am running a euroswitch with DRL's disabled. Parking and fog lights works fine, and headlight do as well if you turn the switch off and then on again a couple of times.
Troubleshooting so far - I have replaced the euroswitch with the stock unit and find that the DRL's come on, but headlight turn off when the switch is turned to the on position.
I saw a couple of older posts about the ignition switch causing simular problems, and I can see the emergency break causing this type of thing. Like previously mentioned, it doesn't do it all the time, but is getting more frequent.