I hear a loud winding noise from the passenger side.

Typically, the driver side is the one to go, but you may be one of the few to have the passenger one fail. If it's whining badly, it's probably about to go.

Here is a video of a blown turbo on a 1.8T
The video isn't great, but you can hear the distinct noise the turbo makes with a bad impeller.

Right Click, Save As...(19mb)
<a href="http://www.phiupsilonbeta.com/videos/badturbo.AVI">Blown Turbo Video</a>

In my case, the CEL flashed in harmony with the power loss. Also a whole LOT of noise. Not tea, not dentist, but full-on tornado.

It will sound like a tea kettle. Loud as hell. You will know when they blow.

My passenger side turbo is a bit louder between 2k rpm-3rpm range. So hopefully i am just anal thinking something is wrong. No loss in power, and under WOT no noticeable tea kettle noises.

Start saving some money though. =)

I think that was about it.

The uncertainty of whether I was throwing good money after bad and the constant concern of bad MAF sensors, clutch replacements and the rest of the upgrade path combined with three kids, they gave me a deal - I bought a station wagon.

but if you're just hearing noise from one side, it could be an early warning sign. Mine didn't make any weird noises before it went, but YMMV. Sure signs of a blown turbo: no boost, white smoke out the exhaust, loss of oil.