Your fuel filter is an integral part of the fuel delivery system. A clogged filter can cause all kinds of problems, from a rough running engine to leaving you stranded on the side of the road. Volkswagen suggests changing your filter every 50,000 km.
If you car has a stand alone fuel filter then it is advisable to replace it. This is a cost effective and easy part to service. Replace before tuning and every 50,000 km. Some modern vehicles have 'in tank' filters which require the whole filter and pump to be replaced which is not cost effective.
If you are running a diesel you must replace your filter more frequently.