We have an Audi a4 tdi (110) same engine as golf mk4 110 and a 01 150 1.8t
I used to think the 110 tdi was really impressive whilst I had a 2 litre Golf. Now have a 1.8t 150 Golf and the TDI seems very lethargic in comparison. It has impressive mid range grunt, but nowhere near as much fun to drive quickly as the petrol. Suffers from a lack of immediate throttle response, which makes it rubbish if you like to 'press on' down country lanes and balance the car on the throttle.
Having said that, if you simply 'cruise' around, the TDI is very accomplished, especially on the motorway.. The 130 and 150 are far more flexible than the 110. The 110 struggles to pull from low revs in 5th which means in a 30 you need to be in 4th, then sometimes change down to 3rd to gain any momentum.
Our 110 never delivers less than 50 mpg on the fuel computer - since new and over 73000 miles our average is 54mpg. The Golf isn't bad, in the summer it averages 37ish and 34ish in the winter (cold start seems to really hamper it) - but i reckon I drive it a bit harder than the Audi.
Also bear in mind that only the GT TDI 150 came with sports suspension as standard. The GTI Turbo isn't exactly the most composed / well damped hatch around, so with 'comfort susp' it must be even more wallowy on challenging roads.
TDis seem to be much more expensive than GTi turbo, so this will offset any fuel savings - althought the diesel will still be worth more when you sell it. Just for info, we had no engine problems with the 1.8t, had lots of niggly (but expensive) things go wrong with the Audi.
Both are good cars, but neither are great driving machines as standard.