Try glowing your plugs for 30 seconds in one cycle before starting the engine. How did you check your glow plugs? I test mine for resistance through the relay connector when they're cold, and then once more right after glowing them. You should see 0.5 to 1.0 ohm cold, and much more when hot.

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2004 VW Jetta TDI (manual)

Past MB's: '96 E300D, '83 240D, '82 300D, '87 300D, '87 420SEL