I'd start with letting the glow plugs do their job well past the point where the glow plug light turns off. In fact just ignore the light and let the plugs glow for about 20 seconds. If that doesn't fix it, I'd check the glow plugs like Jimmy said.

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2004 VW Jetta TDI (manual)

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