Just a tip, but its easier to get a response if you include some basic info like the Engine (1.8TD, 2.0TDDi (90/115), 2.0 TDCi (115/130) or 2.2 TDCi.
First thing I would suggest you do is have a think about your driving style.
With a Diesel, you dont have to rag it to get the power as the torque is low down - so changing up at about 2k revs is fine for standard progress and you dont have to rag it upto 2k.
Aside from that, I would suggest doing an ECU Reset if you have a MK3 (see Meg Workshop, Electrical Section for how to), and maybe putting some injector cleaner through the system.
Other thing is are you working out the MPG accurately. This is done by filling up, running the tank down then filling up again and working out from the miles done and litres put in at that point. About town at worst doing just short journeys from a cold engine I would still expect to get late 30's from My TDDi, and mid-30's from my previous MK2 1.8TD.