My jetta aways got 34mpg, but lately have been getting around 28-30. Last night the check engine light came on and the exhaust sounded load under the car, would an exhaust leak be the cause of bad gas mileage?

Could be. What year is it, and what engine/tranny combination? If the CEL is on, why not just have it scanned? Many chain auto parts stores will scan it for free. Of course, you get what you pay for, a scan by someone who, besides being clueless, wants to sell you parts. The Cap'n (whose Jettas get 50 mpg!)

My Jetta is 2003 with 165,000 miles, has the 2.0L manual trans. When I took it to VW about 3 months ago, with the check engine light on they said it was both O2 sensors, changed both and the light stayed off since last night.

You DO know there are in excess of 1500 codes and variations, right? It could be anything. Granted, some wont turn the light on, and still others take multiple drive cycles to do so. There are many things which could affect your fuel mileage, including a bad MAF sensor, a bad thermostat, a bad CTS (VERY common!), an exhaust leak before the cat, a broken vacuum line, and a bunch of other things. Most good aftermarket VW shops have either the VW factory scanner, or Vag Com, an aftermarket system. You need to have it scanned.

The Cap'n

If you are bored you can get VAGCOM online and download if for free.
From Ebay you can get the correct cable to use with VAGCOM and your computer.
At VWVortex.com you can find all the codes and many opinions how to fix things.

Rich

echo= you need to have it scanned!

Most, if not all the e-bay cables work only marginally on a 2003, and the freeware version doesn't do much of anything other than basic codes. Besides that, Ross-Tech won't support users of non-Ross cables.

The Cap'n