I daily drive a 99.5 Golf TDI, and it's the best car I've ever owned. There are some things to watch out for, but they are all helped by preventative maintenance.
Things to watch out for:
-Clogged intake manifolds due to EGR putting soot filled exhaust in the intake. (turn down the egr with VAGCOM software)
-The turbo vanes are prone to getting sootted up and the turbo will over boost. (give the car a hard drive and clean out periodically)
-The stock struts are dead by 100K
-Watch the rear trailing arm bushings as some cars came with hydrolically filled ones and they blow and get sloppy.
-Timing belts parts are a bit pricy $300ish every 80-100K
I average 45mpg. A chip and injector nozzles will free up about 40whp on these cars. Stock about 90whp with chip and injectors about 130whp/230 ft/lbs torque.
With a set of cheap shows (hankook I-pike) it's great in snow. The torque of the diesel engine is great for taking off in second gear in slippery conditions. My car has 250K miles and still feels tight.
is a great source of info.