I have just replaced my OEM airfilter with a Pipercross foam performance filter. I am very impressed with the results! Engine is more responsive, torque feels improved and it is pulling much more freely through the rev range (not running out of breath).
To be fair the old filter was really dirty, probably not been changed for at least 40k miles, and had some kind of cover on it along with loads of fag butts and leaves.
It cost about £45 and I would definitely recommend to anyone with a diesel.
I fitted it myself but be warned, it took at about 2 hours as you need to remove loads of covers and filters etc to get at the bolts to take the airfilter cover off.