Since you said on the Highway it is OK I do not think you have a fuel supply problem.

When I first bought my car I had a similar but not as bad problem and it turned out to be an extremely sloppy throttle linkage problem. Maybe something is worn out or loose and when you step on the pedal it is not moving the IP throttle lever as much as it should. When I adjusted mine my power returned.
The other guess would be late/retarded timing (maybe due to timing chain stretch). After you get the engine going the IP Timer is advancing the timing and you then you get more power.
Are you having any type of smoke while you are idling or driving?

Also there has been several "lack of power" threads in the last 2 weeks.

__________________
84 300D, 82 Volvo 244Gl Diesel