i'm currently exploring the diesel route at the moment, i think i've settled on the Audi B6 A4 manual quattro. either the 1.9 or the 2.5 TDI the 1.9 is only 130 bhp, but for about £100 it can be mapped up to 180 bhp and still do 50 mpg, if you're going audi avoid the multitronic gearboxes, lots of issues. also watch the bmw 330d apparently they have a habit of eating their intake manifolds and feeding it to the engine, and the BMW auto is about 25% down on mpg compared to the manual.
quattro is good as it allows you to stick the diesel torque down properly and really fly out of corners.