One thing I'd like to add was I think part of the reason I didnt quite get the economy I expected from the TDI was to do with how it drove.
Now I dont know about anyone else, but I found mine somewhat languid below 2000 revs, so the reality was you could often rev to 3000-3500 just in every day driving to make sure the revs are kept above 2000 (not so important if cruising, admittedly). That means often I was using 80-90% of the performance just for every day driving (which incidentally was part of the reason I got bored, because when I wanted a thrash then it didnt really seem to have any more to offer).
Also because a lot of the shove occurs so low down the rev range in these cars, what I found was I drove it like a hooligan all the time, because it was just too easy to exploit. In my NA petrol, I actually prefer the way I have to work a bit more for the speed when I want it, because it just seems more special that way when I do want to have fun. Yet for me, it is sufficiently grunty at low revs for every day driving.
The result is because of the driving style the TDI imposed on me, my average tended to be in the mid to high 30's (I do a lot of town driving, which clearly doesnt
help either), yet I get high 20's to early 30's in the Clio - so the actual difference is not as large as I expected.
What I'm trying to say to ANT FR is think very carefully before you get a diesel - insurance and fuel economy savings look tempting but arent quite so dramatic in the real world, and when offset against the purchase price of the car and the probable higher
servicing costs, it could end up either costing you more, or maybe you will just break even.
I agree with m0rk, maybe just moderate your driving - stick to speed limits, better anticipation (although i am sure you are probably a good driver anyway) and maybe just use the car a bit less..... I just have a feeling you are going to regret changing, as I just think petrol cars are more fun to drive.