The Q5 TDI drives very well, but owners have been reporting some problems with their turbos. Most likely this is a short-term issue that Audi will address, if it hasn't already.
Both BMW and Mercedes also offer diesels in their compact SUVs. Their diesels are smaller than BMWs, so they are not as quick or as smooth but should get better fuel economy and are less expensive.
The only one I've had for a week is the GLK 250. You'll find my review, which compares it to the Audi, in the "more" drop down beneath the photo to the right.
I have reviewed the BMW diesel in the 328d sedan. BMW also offers a 328d wagon, which handles better than any SUV. But I wasn't sure the diesel was the best fit for the 3-Series.