The sites mentioned by Scott are definitely worth reading! Many thanks to him.
I live in Northern California and have always used a Universal oil, 15-40 in my diesels (3 of them) and have always changed the oil/filter every 3500 miles and experienced no engine problems whatsoever. Pep Boys sells Proline, supposedly made by Valvoline, for about $1.19/Qt. They also sell a house brand filter that is inexpensive and well made.
On the subject of additives, I have noted, numerous times on my 240D, a 10% increase in fuel mileage when I added a can of plain old STP to the crankcase.
'85 300 SD, 165K-Sold
'88 300 TE, 165K-Sold
'64 Porsche 356C Cabriolet
'86 560SL 124K Miles
'94 320E Wagon, 74K Miles