If the actual switch on the dashboard is getting hot, then maybe you have a short in the wiring behind it. Usually you'll have to remove that section of the dashboard (usually by gently prying it loose with a screwdriver) and test the wires in the fan switch unit carefully with a voltmeter. Or you can do it less gracefully and turn on your car and see which of the bad boys gets hot. Once you find it, you'll probably have to replace the wires, or more likely the whole switch unit. If you need to replace the unit, talk to a local VW dealer and I'm pretty sure they could hook you up for a price. If you do replace anything electrical, make sure you unhook your battery (and get the security codes for your radio, I found that out the hard way).
And if it isn't a shorted wire or faulty switch unit, I have no clue.
If it is actually the dial that controlls the ammount of air the fan blows (the most left dial) then it is probably the contacts right behind it. If you give the dial a good tug then you will be able to see the contacts. If they are touching eachother then you should separate them because they are freeflowing electricity through them.