No problems with my 04 Jetta TDI.
Only issue in 65,000 miles was a blown fuse a few years back.
Mk 5 generation has a bit more power, better fuel, economy, more rear seat leg room and have not heard any issues.
Have you checked out
www.tdiclub.com ?
58 MPG
http://jalopnik.com/5056994/2009-vw-jetta-tdi-achieves-5882-mpg-while-traveling-through-lower-48-sets-world-record