Yep, I've been driving diesel golfs since 2001. Current one is a 4 door 2011 dsg. With a mix of city/highway I average about 45 mpg. You will get even better with a manual of course - plus if you live in a state that doesn't do emission tests on diesels (md doesn't, California obs does) you can do the DPF delete mod, which will get you an extra 5mpg or so.
The only thing that sucks about these cars is that they are expensive to maintain. Like my 40k maintenance was about $700. I'm coming up on 60k and that will be about $300. 50k was basically just an oil change so that was around $100. If you can do the maintenance yourself, you can save a bit of cash. Also manuals will be less expensive since you don't have to deal with dsg maintenance (which was half the cost of the 40k)
The other thing, there has been some debate if there is an issue with the high pressure fuel pump in these cars. If it goes out, it's a 10k replacement. I think vw has been covering it if it happens under 100k.
Tdiclub.com is a good resource.
They are fun cars to drive. Once you go torque, you never go back. If they ever bring the GTD to the us, I will probably upgrade to that. GTI but diesel basically.