A few things with VW diesels in general:
1. I see you're from New Jersey. If you test drive one, ask the salesman to walk out there with you so you can start a cold engine. Diesel engines have glow plugs that have to warm up before you can start the engine. You'll want to see if you're willing to wait in the cold for your car to start up.
2. Ask about oil changes. in 2005 Jetta TDIs, oil changes had to be performed by a VW dealer (with expensive synthetic oil) to keep the warranty valid.
If you can find a dealer that will give you a loaner when you need warranty work done, go for it. VWs are a lot of fun to drive.
I have had 3 Jetta TDI's, currently have 2 right now.
All have been spectacular cars, the '98 I just got rid of got a consistant 47-50 mpg. It had 250,000 miles on it when we got rid of it.
Currently have a 2006 , and a 2009. Bot TDI's the mileage isn't as good as the older one. (get around 39-41 mpg with the newer ones), but they are alot bigger car, and VERY nice. Me & the wife wouldn't own anything else!!
As far as cold weather goes, I've never had any problems with mine starting, Even in 20 below zero weather, I have never had to wait more than about 5-10 seconds for the glow plugs. The car is very well built, quiet, (it doesn't clatter like you would think a diesel would), and you would be amazed at how fast they are for just being a little 1.9 turbo.
As far as the oil changes go, you do NOT have to take it to the dealer to get it changed, as long as you use an approved oil, (yes it's full synthetic) you can change the oil & filter yourself without voiding the warranty. I have changed my own for years. There are several full synthetic oils on the market that you can pick up at Auto Zone, that meet the VW standards.
I've never had any major engine problems, the only thing I have ever done is had new glow plugs installed in the '98 when it was around 8 yrs old. (had over 200,000 miles on it.
I was a little nervous about the availability of diesel at gas stations also, but really haven't had any trouble finding it. It's not that big of an issue. Especially when you can go 400 - 500 miles on 1 tank of fuel, you have plenty of time to find a station that has it. LOL
IMO.. you can't go wrong if you get one, they are great cars, built well, and blow away the mileage of most "Hybrid" cars out there. Test drive one! You'll see what I mean.
Edit --- Cold weather isn't a problem!! LOL