You can get it just about anywhere, any place that sells new parts. Strangely, it's cheaper to buy the "relay kit" that comes with 4 glow plugs than to buy the relay alone.

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2004 VW Jetta TDI (manual)

Past MB's: '96 E300D, '83 240D, '82 300D, '87 300D, '87 420SEL