Manual transmission VW TDI's are much more efficient than automatics, at least in the U.S. The Golf TDI automatic is rated at 34 mpg city, 45 hwy, while the manual is 42 city, 49 highway. Anecdotal experience from owners backs this up. You also lose a fair bit of power with the automatic (which you can easily recover with a chip, of course).

It'll be interesting to see the VAG CVT automatic matched to a TDI engine; hopefully we'll get this in a year or two.