Replacing all the glow plugs is probably a good idea, buy Bosch or Beru brand. I would do that first.

There are lots of opinions on oil, but the most important thing is to use a diesel rated oil. If you want to use conventional oil, shell rotella 15W40 is good (maybe a little heavy for cold weather starting). If you want to use synthetic, Mobil 1 5W40 and shell rotella synthetic are both good. I would recommend changing conventional at 3000 miles or synthetic at 5000 miles (the cost will work out to be similar), again there are many opinions.

I would do the glow plugs first if they are not working correctly. I would also try to find out why your AC is making noise before something is damaged. Regarding maintenance, do you have any records from the previous owner? If not, I would change the oil first and then start working my way through everything else.

When you replace the large fuel filter, you have to "prime" the system with a small hand pump or the car will not start. I'm not certain where the pump is on your engine, look around the are of the fuel filters. It's also a good idea to carry spare fuel filters and the appropriate tools to replace them, you can get stuck if the filters clog.