What would you say are the "to do" things for the first few thousand miles? Keep in mind I drive 250-350 miles/day.
I have to ask, why did you wait so long to get a TDI? They are the perfect cars for anyone who drives so many miles.
There really isn't anything you can do wrong, except baby it. And with so many miles to drive, my guess is you don't waste time getting from A to B.
Most new TDI engines use a little oil, so keep a quart or liter of 505.01-rated motor oil in your car for topping up. And get a Pela topside oil extractor so you can do your own oil changes easily.
Consider a CAT 2-micron fuel filter. It will protect your fuel injection system better than the OEM; also, each filter costs less and you can go further between filter changes.
Lastly, if there are as many sand and gravel trucks on the highways in Oregon as there are in California, get a bra. Otherwise the bumper and leading edge of the hood will take a beating. (Not sure if there are any bras for the 2005.5 Jettas yet, though.)