They used to be able to give the code out, but apparently they changed the system a year or so ago and they don't just look it up anymore. They aren't officially allowed to just give codes out as you could have just stolen the stereo - you're meant to provide proof of ownership (V5 document) and the VIN at least.
As kriso said, that is exactly the situation with VAG cars, I also know this as I bought a VW Gamma with no code to replace an older one in one of my cars, "no chance" "we need to know the VIN of the car it came out of to prove that it is not stolen" - well that was a cheap but usless ebay purchase! On a general note, it is quite easy to buy data cds of radio codes for most other car manufactures radios, in the case of VAG ones, I think that you need to read the code directly from a chip, enter this data into an unscrambler s/w package, and it will spit out the code for you to punch in. In other words don't make my fatal mistake number two and buy a cd of radio codes that include VAG ones from ebay etc - they dont work. It seems that most other manufacturers just end up selling on a list of codes against serial numbers and in some cases use their standard "sum" to let the decoding program translate the serial number into the actual code, handy eh - as said, who still makes a living out of stealing radios ?