I've had a chance to drive dparnell's '99 A4 Golf GLS TDI and I have to say that my '98 Jetta TDI is much less refined. My car is noisy. The Golf was quiet. You can't really hear the motor in the Golf while in my car, you can hear the turbo spool up, the rumble from the motor and roadnoise. Compared to a gas A3 Jetta, it's downright quiet. But, compared to the newer Golf, it's noisy.
As far as engine differences are concerned, the newer motor is much more tweakable. That's because of the newer car's Garrett GTVNT15 turbo compared to our Garrett GT15 turbo.
The suspension on the A4s are supposed to be a better design than the older car's. I didn't get a chance to confirm this, though.