I've put this together in an effort to help some folks diagnose what may be a loss of fuel economy (MPGs) with their TDIs. Keep in mind, many of these items can work against your car in concert to add up to a sizeable increase in fuel consumption over time, so please don't dismiss any one item because it may be just one small part of the puzzle, but an important part nonetheless!
Tires: this goes beyond simply air pressure, although that is an important part. Tread design is another, as well as the proper size and load rating. When in doubt, look at your car's tire information placard. It will have the proper size, load, and speed rating. Going from the proper 91 load to an 89 (an all too common mistake) can take a 1 MPG hit all by itself over the same model tire. Low Rolling Resistance (LRR) tires are becoming more popular, and are usually marketed as such. Still, keeping the pressure up, and the rating correct, is very important.
Alignment: if the alignment of the car is off, the tires can 'scrub' as they roll down the road. This causes excess friction and drag, which causes the engine to have to work harder. Checking the alignment with proper equipment is the only way to be sure everything is in specification. Worn bushings and steering components can cause the alignment to be out.
Trim pieces and shields: the car was designed to be both slick on the top AND the bottom. Missing shields under the car can not only make the engine take longer to reach operating temperature, they can also cause extra wind resistance when travelling down the road, and the faster you go, the worse it becomes. Missing grill inserts, missing lower splash shields, missing/damaged fender liners, can all contribute to this problem.
Thermostat: if the engine cannot reach proper operating temperature as quickly as possible and maintain it, it will cause more fuel to be used. Don't assume the gauge (or light in the New Beetle and latest Jetta sedan) is enough to tell you the engine coolant is warm enough. The only sure way to know is with a scan tool and watching the coolant temp data. Thermostats don't last forever, and one that cannot do its job properly needs to be replaced. If it gets really bad, the engine controller will flag a fault, however it has to be pretty bad before that happens. Also note that on many TDIs, the coolant temp sensors are notorious for going bad, so you may need to verify both sides (the ECU side and the Instrument side) is working on cars equipped with the 4-pin tandem CTS (specifically, late ALH, BEW, and BHW cars).
Timing: Both the VE TDI and the PD TDI are sensitive to timing. Just a few degrees can make a substantial difference. If the timing belt was installed wrong, your timing will be off. Period. While there is some sliding scale here, as some timing settings favor power over economy, keep this in mind when you set the timing after the belt is installed.
Air cleaner/air flow sensor (MAF): these items need to be in proper condition, and work in conjunction with the Exhaust Gas Recirculation (EGR) for proper engine function. A little bit off, or dirty, or poor quality/fitment can cause some adverse performance.
Lambda (oxygen) sensor (PD only): these can degrade and cause a slow response from the ECU in a similar (but not identical) fashion that a gasoline fueled car can, and can cause some loss of fuel mileage on PDs.
Intake/EGR clogging: while not the issue it once was, due to ULSD fuel, it is still something that should be checked for, especially on VE cars. This can cause a loss of power overall, and call for excessive fuel use since the air the engine needs to run cannot get in properly.
Brakes: many Volkswagens, especially A4 platform cars, have chronic stuck parking brake cables. This causes the rear calipers to drag, and your torquey diesel won't know it... it 'll just eat more fuel to move the car down the road. Also, brake pad perches can rust up, and cause the pads to sieze in their spots, dragging the brakes.
turbocharger: the "T" in "TDI" can't work properly if there is a vacuum/pressure leak, binding VNT/wastegate actuator, etc. While a fault will be flagged if it gets really bad, low boost can slowly creep up and rob you of both power and fuel economy gradually without you even knowing. Again, a scan tool checking requested and actual boost can help check the condition of your turbocharger system.
Driving style: we hear this all too often here, but it bears repeating here. Driving the car too easy
for too long
can really mess things up in the MPG department. Keeping the pipes clean, by occasional spirited driving, can help to keep the EGR clean, the intake clean, the intercooler clean, the breather system functioning properly, and the turbocharger working correctly, in addition to keep the catalyst and (where equipped) Diesel Particle Filter (DPF) clean and in good working order. A good test on VE and PD cars is to do a floorboarding rolling start (once the engine is warm) and see if it belches out a cloud of black smoke. A healthy, happy TDI, even a mildly modded one, should NOT do this. If it does, and it goes away after doing this a few times, you know you were driving it too easy for too long. Some folks call this an 'Italian tune up'. Whatever you want to call it, it works.
Excess weight: we can call this a minor one, but let's face it, dragging 50 pounds of tools, a stack of bricks, your entire CD collection, your golf clubs, the collected works of Charles Dickens, and 70 bottles of water around in your car is not really necessary.
Hopefully some of the above listed items can help you track down a possible loss of fuel economy!