I might be a little late on this, but here's some input.
I live in Calgary, so we get some pretty ridiculous weather fluctuations (40-50 deg C change in 2 days). I have to park at the C-Train to get to work and my '89 golf (non Turbo) was killing me last year (I sympathize with jtanguay), particularly because they would cycle the power every 30 minutes (freeze/thaw/freeze/thaw).
I have a client who coincidentally is a heavy diesel mechanic. I had the same problem where the car would barely turn and then the battery would drain. I was pissed, so I asked him to put the biggest g*dd*mn battery he could fit under the hood. The battery is a 1200 or 1400 (I'll have to look at it during daylight hours (all four of them).
Of note, he said that there was a problem with the glow plug relay, and that the only time they would warm was when the key was in the start position, that's why I would have to (and still do, I have to talk to him 'bout that) crank it for a while before it would start. Once he fixed that, all was fine. Maybe test your relays to see if all the plugs are warming/firing properly.
With the big b@stard battery, it turns the starter over in a damn hurry. I haven't had to call reinforcements yet this year. And my drives are only about 15 minutes, which theoretically should equate to my eventually having a dead battery (not enough drive time to recharge).
If you look at the information on the back of a battery blanket, you'll find it takes a ridiculous amount of energy to crank a car when the battery is cold. Combine that with the higher compression of a diesel engine and things start looking grim when your nostrils start freezing.
So if you can (or already have), invest in one and plug in wherever you go.
I also looked into some Cold Start systems, such as
http://www.beru.com/english/produkte/iss.php. They have some systems that apparently kick @$$, but I've never been able to get a reply out of them.
As for starting, I'm with chrissev on the "choke" Once she starts catching, pull it out and push the throttle about half way. It'll come around.
I'm going to try some of that 0w40 to see if my starting gets better.
BTW, nice to see so many Canucks on the site.
