So you are getting fuel to the injectors?
If so, have you tried the "double-glow" starting procedure? The way I understand it, turn on the key and let the glow plugs go for about 30 seconds, even past the light going out. Turn the key off and do it again.
There were several postings recently regarding hard diesel starting in the cold weather. This is where the "double-glow" starting procedure came from. They also were saying that valve adjusts make a big difference.
It has been several years since I worked on diesels so I can't walk you through the checking of the glow plug electricals, but a quick way to make sure they are getting juice is to see if each of them get warm (hot) by touch.
'03 E320 Wagon-Sold
'95 E320 Wagon-Went to Ex
'93 190E 2.6-Wrecked
'91 300E-Went to Ex
'65 911 Coupe (#302580)