I have been through this with my 240d (4-sp). By doing everything suggested above and also going easier on the throttle I have moved from about 18mpg to 20-21 in the city. Still pretty underwhelming for a 240D with std. transmission.

The last thing I plan to do (suggested above) is get my injectors rebuilt and also replace the timing chain.

I think this is the underlying problem for my car.

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Current Mercedes
1979 maple yellow 240D 4-speed

Gone and fondly remembered:
1980 orient red 240D 4-speed

Gone and NOT fondly remembered:
1982 Chna Blue 300TD

Other car in the stable:
2013 VW Jetta Sportwagen TDI / 6-speed MT