had this problem on my tdi, and its actually surprisingly common...
two things to check are the starter motor and the battery....if your cars more than 4/5 years old, get your battery tested by your local motor factors, they usually have the battery tester, and depending on the outcome of that get yourself over to your nearest Andrew Page counter and pickup a bosch battery (they're bosch specialists and treat people a bit better than the twerps at eurocarparts),
if that doesnt fix it then starter motor time! and again, andrew page will do you a bosch exchange unit at a good price and remember to ask them for a discount, they'll give you a trade discount even if your not trade just by you asking
after changing battery and starter motor on my 1.9tdi sport it fixed the embarassing warm start problem i had and now the car fires first time every time
good luck and post back with your results
