Don't know much about the new common rail engines, but I know that the PD engines from 05 (maybe 04?) to 08 are not as good as the ALH engines from 99-03 in terms of fuel efficiency or longevity (they eat cams routinely). I suspect that the ALH efficiency (45+ MPG easily with a manual trans) is not readily obtainable in the newer, heavier cars. But 40 might be do-able.
DO NOT BUY ANY VW AUTOMATIC TRANSMISSION. EVER. If you make that mistake you can swap in a 5-speed when the auto grenades. They are somewhat better now than the 01M auto in the ALH-engine cars, but to be avoided all the same. Plus they take away 5-10 MPGs. Just so you don't have to shift for yourself. NOT worth it.
Smell and noise are not an issue in the newer common rail cars. Well, you will want to carry something to wipe your hands after filling up. Diesel pump handles are always grimy.
Fit and finish is VW-esque. You will have rattles. If you don't want rattles pony up for a Merc with bluetec diesel.
Oh, and lastly, DON'T let the dealer's service dept near your TDI. They don't know diesels. Go here:
http://forums.tdiclub.com/ and find yourself a local trusted mechanic (or better yet a guru). These are cars that can easily run half a million miles. Take care of it to make it last.