Not to bleat out the obvious, but your dealer is a good choice. The big deal is getting oil in VW spec... VW 507 oil. None of my local chain stores...auto or big box seems to carry the right stuff. Audi dealers will have it, too. Mercedes is likely to stock oil in VW's 507 spec.
Nothing wrong with going mail order, but shipping may kill any price advantage.
If you want a thorough discussion on oil, go over to TDI club or to myturbodiesel. Lots of discussion, lots of strong opinions on oil. You'll also get the lowdown on filters, too.