Audi A2 1.4tdi - Expensive but cheap to run
Corsa 1.3cdti - Cheap to buy and even cheaper to run, but you'll end up a chav
Clio 1.5d - Cheap to buy Cheap to run but you'll end up gay
Focus 1.6tdci - Relatively cheap to buy and super cheap to run, good all rounder.
Golf Mk4 130Tdi - Now cheap to buy and cheap to run. If you can find one with less than ~70kish and one female owner then definately worth the money. Otherwise thrashed by people like myself and Sheario.
Ford Fiesta 1.4tdci - See focus but a you'll end up with a comb-over.