hi
I have an 02 130 TDI Sport and love it! as AndyMAC said make sure the climate works. If it is faulty the ECON (economy) light will be stuck on and you can not get it to go turn off, this results in only warm air as the compressor will not turn on. One of my old workmates thought that ECON ment that the aircon was on! I belive that in most cases on the early B6 A4's it is a faulty switch telling the car there is no gas in the system make them fix this as it could be somthing else!
The only problem i had was a loud rumbeling noise when turning near full lock, turned out to be the alternator pully. Other than that i have had no other problems.
And for performance i was following my brotherinlaw last week in his 150cdti Sri Vecta 05 plate , both full up with all our summer holiday stuff and had to back of (only slightly) when pulling away from roundabouts as my turbo was kicking in much earlier. (i belive it is faster to 60 though but thats not real world driving!)