You should be using synthetic, but don't expect it to make a difference in the engine sound. Just make sure your glow plugs are all working (do a search on resistance testing) and some injector cleaner with a cetane boost will probably make the engine a bit quieter when it's cold and keep the injectors clean.

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2004 VW Jetta TDI (manual)

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