In a way they do put this on the label, but you have to look for it. As one of the previous replies indicated, look for the C rating. S rating is for spark ignited engines, and C rating is for compression ignited engines.
I'm sure that any oil will work and not HURT the engine, however, the C rated oils have additives that deal with soot dispersal. The important issue is the fact that the byproducts of combustion are quite different between a diesel and a gas engine. The Rotella and Delo that a previous reply referred to are called Universal grade oils. These are the two that are the favorites of the truckers. International truck engines come filled with Delo, and that's what is in the International brand oil containers.
Also to get my oil change fanatical reply, oil change interval is probably at least as important as the oil you use. Sounds like you're doing 3,000 mile oil changes, so you're doing the most important part regardless of the oil you choose.
Change oil hot, and change oil often,
'84 Euro 240D, 516K miles
'88 300E 5 Speed
'81 300D Daughter's Car
Over 800,000 miles in