It really depends on your driving habits, and where you are driving. What percentage of Freeway vs City driving are you doing?
I have about 5k miles on my TDI, and my average tank is about 35mpg. I drive about 10% Freeway, 60% Backroads, and 30% City. Any CR TDI you see getting 40mpg + does significantly more Freeway driving then City. Check out fuelly.com, and look up our cars, and check out their stats for more data. (Also check out my fuelly link in my sig below)
I notice that I can get about 42mpg during a trip that is 80-90% freeway. I average about 38-40mpg on my way to work (alot of down hill traffic free driving) and about 28-32 mpg on my way home (More uphill driving and traffic) When traffic is really bad, I see around 26mpg!
Your biggest factor is your route (Road type, Traffic, ect) and the 2nd biggest factor is your driving style/technique.
And yes, mileage will get better with age, providing you break the engine in properly!