What vehicle is this on?
If it's your MKIV TDI, replace the hazard switch. They're notorious for failure after 60K miles.
If it's a MK1 or MK2, check the grounds. Then check the bulbs, then check the turn signal switch. Finally, look at the hazard switch.
The hazard switches on the early cars rarely went bad. On the newer MKIV cars, the hazard is both a flasher and a relay in one unit. I think more current=early failure.