Just bought a 96 golf. I'd like to replace the fuel filter as the thing was past empty and the engine sputters a little bit. Where is the fuel filter located?

i would suggest checking fuel pressure and fuel filter could have little dirt or something clogging fuel and engine light will stay on due to too rich or too lean of fuel/air mixture

i had a 1984, that did the same thing. it turned out to be a bad vaccuum connection on the intake. have you checked all these lines?

The first question is when was it last given a FULL service? General rule is to check the obvious first! Misfires are caused by one of 3 things. NO fuel, NO air, NO spark!
Check the condition of the contact points in the distributor. For how much they cost you could replace them anyway.
Might be worth checking the distributor cap for cracks in the body or dirty terminals inside. It's surprising how much trouble a little bit of damp can create.
When the fuel tank is nearly empty put a whole bottle of decent fuel injector cleaner in the fuel tank (it gives you a stronger mixture). Put it in the tank when the engine is cold AND LEAVE IT IDLING until its up to working temperature, the slow engine speed gives it a chance to work. Check the air and fuel filters as well. Again they're not that expensive to replace.
If this doesn't work it might be hinting at a slightly bigger issue.

how about the fuel filter. I didn't see this on your list and it should be done every 20000km and the air filter. I think its a fuel filter. not the pump. could be the coils but I would start cheap and change fuel filter first. when the pump is cold it pumps with more psi to blow passed the clooged filter after warm it is weaker and has a hard time pushing through the clog

Fuel filter,air filter,clean throttle body,what you have coils or cap.

It could be several things. Start with the most simplest things like replacing the fuel filter, air filter and running a fuel system cleaner through the engine. A clogged catalytic converter can also be a reason for poor accelleration. Are there any trouble lights on the dash like the engine light or check engine light? Have your charging system checked as well just to make sure everything is up to par. This can be done for free at nearly any autoparts store like Advanced Autoparts or Auto Zone. Other possibilities could include water or other foreign substances in the fuel tank/system, a failing fuel pump and clogged injectors if the engine is fuel injected. Hope this helps.

Yeah sound like the Mass Airflow sensor (MAF). This is one of those items you really shouldn't get at a junk yard.

Might be fuel pump, or filter is pluged up, best to chg. filter and then do a fuel pressure test.

check your fuel filter, take an air compressor and blow air through the "in" end if no or little air is coming through then just replace the filter, if fuel filter is ok then try a fuel additive to clean your injectors which are a very common problem when the engine gets gunky build up on them