Well, despite the posts to the contrary......when that happened to me several years ago, replacing the glow plugs did NOT fix it, however, a new relay did. Rather than guess and throw parts at it, test all the glow plugs and wiring with a meter. If the plugs are bad, replace them.....if they are not, replace the relay....

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2012 Mercedes ML350 Bluetec 91K (hers)
2005 Corvette 55K (fun car)
2002 VW Jetta TDI 231K (mine)
1998 Volvo S70 T5 Turbo 196K (kids)
1994 Ford F150 4WD 249K (firewood hauler)
1983 Mercedes 300D 376K (diesel commuter)