From what I've read, the "holy grail" TDI is the 1999-2003 ALH engine. Better power and roughly equivalent fuel mileage to the earlier engines, and it's still a standard injector pump engine. Issues exist (the VNT turbo vanes can seize up if you don't give the car regular Italian tune-ups, the EGR function can eventually clog up the intercooler, chassis electrical issues that seem to plague all Volkswagens, and such), but I've put about 35K on my 2001 and have been VERY happy with it. Only problems I've had with mine so far were the glow plug harness corroding (throws a Check Engine light because the computer thinks a glow plug's failed, which was obnoxious), and the alternator pulley clutch committed suicide; otherwise she's run like a top
I'm not a fan of the PD engines (2004-'06). There's a history of camshafts wiping out on them...the engines are extremely sensitive to which oil you use in them, and many people did not pay attention to that...but, IIRC even with using the right oil, some people have had camshafts get wiped out. I don't remember the details, but IIRC they used too soft of a metal. Also, generally the PD's don't get the fuel mileage that the ALH's get, although I know Justin (FordGuy100) has had good luck with his.
As to the new ones...first, I'll say that I'm planning to go with a new Jetta Sportwagen for my next car (probably when my '01 hits 200K miles). The new DSG automatic is exponentially better than the piece-of-junk slushboxes VW used previously (to the point where I would STRONGLY recommend a manual transmission if at all possible), but the DSG is still very complicated, and I don't want to think of the repair costs if one goes south. Also, the clutch packs are still bathed in oil, which creates a fair amount of parasitic drag...they're working on a dry-clutch version that will eliminate this and should really help with power and fuel mileage. At the same time, even with some back/hip problems, I'd much prefer the 6 speed manual, although that's also largely a function of personal preference. The '09-current Jetta and Golf TDI's use a particulate filter in the exhaust that uses diesel fuel to regenerate and in turn kills your fuel economy; Passat and Touraeg TDI's use urea injection, which adds an extra system/fluid, but means it won't have a negative effect on fuel mileage...supposedly, the Jetta and Golf will switch to urea for the 2015 model year (take a look at this thread:
http://forums.tdiclub.com/showthread.php?t=393747 )...personally, I would go out of my way to get a vehicle with urea injection if I were to buy new.
Just my $.02 on the matter...I hope that it helps some