Mark's on the right lines, I'd suspect the EGR.  However, when I had this problem it was partially the glowplugs, and partially a critical engine fault!!!  I paniced, then I consulted the internet.  Try checking all the vacuum pipes and connectors.  One of mine, for the inlet manifold pressure valve, had a split in the rubber boot.  Fixed that and touch wood it seems to be ok now.
                 Jason
                
 January 2007