They are not as unreliable as when they first came out. They had some time to improve on stuff as I think the dsg box first came out in 2004.
But if you do get a problem then it's not the case of a new box. Lots of places now specialise in the ecu part of it and you can get the clutch plates changed but they should in theory last the life of the car.
I think I read a recent thread where someone was quoted 3k to fix the mechatronics?! I might be wrong (hope I am for the sake of anyone in that position) but that's quite a lump to shell out just to get a gearbox working.
It's the one and only thing that put me off looking at DSG cars before I bought mine. As it happens, the manual is one of the best boxes I've used. Apart from having to uprate the clutch (DSG clutchpacks are good for well over 400lb/ft apparently) it's perfect. Good positive feel, and the ratios are bang on.
There's no denying the DSG makes a quick car quicker though. I went out in Hurdy's old R and the acceleration was constant, and relentless, until he lifted off. The burps/farts are pretty cool too.
I'd imagine the 40k service does nothing to ensure the reliability of the actual mechatronics unit? It'd help to see some statistics, as in the percentage of DSG cars with mechatronics failure. No idea how you'd get accurate figures on that though!