I've owned a VW diesel pickup (a long time ago!), more recently, two diesel VW Jettas and two Mercedes diesels. I've only read (fairly extensively) about the diesel BMW's. We've owned a number of BMW's and Audi's but none that ran on anything but regular gas.
My general impressions were that the diesels did indeed have better than average gas mileage and didn't seem to be affected much by driving under a load (physical or acceleration-wise). Their acceleration is a bit different than a gas-engined vehicle in that they aren't explosive off of the line, but have tremendous pull at higher speed passes or in the mountains. Sound-wise, they're still a little "clattery" when warming up, but much quieter than they used to be. My old VW Pickup sounded like someone was taking a mallet to the engine when it started up in the morning. But it ran on french-fry oil, so at least the exhaust didn't smell bad.
Overall, Mercedes tend to be more oriented towards comfort. Their E320 diesel, for example, wasn't very impressive in the way it handled mid-corner bumps and potholes. The suspension was easily unsettled, but the seats were very well executed. I've read that the 250 falls short in overall execution - not living up to the standards of old.
BMW's are usually a "tighter" riding vehicle, better steering feel, and firmer seats. Not uncomfortable, but a different breed if you took a 300 vs BMW's 335 for example.
Audi's of course share VW as the parent company, so their issues are Audi's as well. However, you can get some pretty good deals on used Audi diesels due to the flood of the market resulting from "Diesel-gate".
In conclusion, I became disheartened with how many repairs would appear over about 50 or 60k. On the diesels, they were never with the engine itself, but some electronic component. And every part required an order from some distant warehouse. The repairs were much more costly with the European automobiles.
If it were me, I'd probably look personally at the Cadillac (now). GM shares a lot of parts and platforms making parts and servicing less expensive and less difficult than the bonus of driving a "cache" brand. It's pretty impressive what they've done over the last 8 years or so.