oil in the intake is most likely from the stupid ccv system, turbocharged engines DO inhale a little deeper than a naturally breathing model.
For the original poster, I would STRONGLY suspect a fuel delivery issue. When was the last time your filter was changed?
Wal-mart sells (along with most parts places) a cheap Purolator paper-in-clear-plastic filter element. Get one of these (in the larger tube size) for a temporary test. Inside your engine bay, on the driver's side, on the firewall, is your diesel fuel filter. It's the big can with the black button on top, and two electrical plugs pointing toward the front of the car.
There are only two rubber hoses connecting to this. Unplug the one closest to the CENTERLINE of the car, and connect this to the side of the filter with the big plastic disc. This is the filter OUT line, to the engine. The other rubber line goes on the other side.
Now: Starting the engine will take a little bit of effort, but it WILL pull the fuel from the line. The engine should start up almost instantly the first time, but will probably stall again almost immediately. Continue cranking in 5-second bursts, pausing for 2-3 seconds between. It should only take about 3 cycles, and the engine will start again. The little filter will now be full of fuel. Watch it to see if there are any tiny bubbles entering from the tank-side, as this will indicate an air leak somewhere.
Drive with this filter for a few days, and see if your mileage changes. This will (at worst) tell you nothing at all, but it will eliminate a possible cause. But I believe your mileage will go up a lot, indicating a plugged filter, or possibly a weak pump. How many miles are on the car?