Listen to the rocker cover and see if it sounds tappety if it does then the cams maybe on the way out.
Listen out for unusal turbo whistle, if so turbo could be on the way out.
Listen out for Knocks coming from the gearbox - this could be the flywheel on its way out.
Check for boost leaks.
The above are pretty much all of the expensive things that can, and at some point will, go wrong with the TDIs. Other than those the usual checks.
