My daughter has a blank key for a 2002 or so VW Golf.
The VW dealer wants an arm and a leg to cut that, can locksmiths do that?
1) Your '02 Golf uses a key called a 'sidewinder' because the key cuts are cut into the side edges of the key, not the top (and bottom) edge of the typical key. The newer sidewinder keys a are quite popular on German and high-end Japanese cars, but can be found on a few other models as well. Many locksmiths do not have a sidewinder milling machine.
2) The key you need also incorporates a transponder, a coded chip which is embedded in the plastic head of the key. The transponder allows the car's computer to determine if the key has the authority to start the car. Although many locksmiths have a programming unit that talks with automotive on-board computers, the VW requires a security pin-code to authenticate the communication. My manual says that VW is not keen on giving out that pin-code, so only the dealer may be able to program the key to your vehicle.
Sadly, car dealers are notorious for charging the highest rate for vehicle service. Locksmiths routinely are less expensive and provide on-scene lock service where a vehicle otherwise would need to be towed to a dealer. In your case, just a duplicate needs to be made, so you would do well to call a locksmith or two and ask if they can 1) Cut sidewinder keys and, 2) Program VW transponder keys to your Golf. If you get a 'yes', go for it and enjoy the $$ you will save.
Transponder keys, depending on the make and model of vehicle and the locale you you happen to be in, can range from $17 to way more than $100 for cutting/programming. It seems that when buying a new (or even used) car, no one ever asks the dealer about the cost of duplicate keys. They would be shocked to learn of the costs these days.
The transponder-equipped keys are to prevent criminals from taking your vehicle as quickly as in the old days, but the car manufacturers are showing themselves to be 'legal' criminals in gouging the customer for extra keys.
Les