A lot of times is that the injectors are a little dirty, so you would need to diesel purge the system, and that cleans the injectors, you will feel the difference in performance as well as starting up.
I would also check the relay 109, I think Tdi parts, sells it between $10.00 to $15.00
Bringing this thread up from the dead, there is also an "afterglow" period. The glow plugs are still on for a while after the light goes out up until 2500 rpm. This gives cleaner emissions and is supposed to make starting easier. GP duration is controlled by the ECu, turning the key twice won't do anything.
Older cars had a preglow that was activated by the door, by the time the TDI came around, this was discontinued.
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