Yep, synthetic oil (e.g. Mobil 1) is your best bet. It really lets the engine spin faster when cranking which in turn lets it develop more heat in the cylinders.
The other major tip I've heard is to use the glow plugs liberally. In really cold weather, some go through 3 cycles (i.e., turning the ignition to the "2" position and keeping it there till the glow plug light goes off. Also, the glow plugs keep heating for up to a minute or so after the glow plug light goes out -- you can listen to the relay and keep the key in "2" until the relay clicks.
Once glowed adequately, crank it and keep cranking until the engine runs smoothly. Don't stop cranking once the engine "hits" the first time, wait until it's really running (but don't exceed the cranking time limit in your owner's manual).
Oh, one other thing -- make sure fuel filters are clean. Apparently diesel fuel is more likely to gel in the filters if they're dirty.