More than likely you got into a station that sells low cetane diesel fuel.. Some stations (mostly those that sell 'premium' diesel) will post the cetane number. The higher it is, up to a point, the better it will be. The higher number means that it starts to burn easyer, and will probably produce less smoke. A higher number is more important in winter than in summer for easy starting.
Cetane number for diesel is like the octane number for a gasser. The higher the better for high performance engines. You can get some additives to help increase the cetane number of the fuel. Amsoil and Redline and a few others sell the stuff. Power services also sells a new product that is supposed to include a cetane improver along with cleaner.
You might want to check out this artical on the TDI club forums about diesel fuel properties..
http://www.tdiclub.com/articles/Diesel_Fuel_Guidlines/
Hope that helps answer your questions..
Drive ON!