I have to say, the more I look at Diesel tuning, the more I like it...
Diesel engines are typically engineered to be stronger than a petrol engine as they produce so much torque. Larger bearing journals on the crank, stronger heads, blocks, etc. They can take a lot more of a beating than a petrol engine provided EGT's are kept low.
Basically pumps can be rebuilt with larger elements to give more fuel delivery within a short space of timing, then a larger turbo added, with a larger intercooler and less exhaust back-pressure; not dissimilar to petrol engines. The difference is huge amounts of torque generated. Other benefits include Diesel being a lubricant oil, unlike petrol which can wash oil film off a cylinder wall by comparison. Another reason why Diesels generally last longer than petrol engines.
With tuning diesels I keep hearing of ripped out prop-shafts, broken driveshafts & smashed gearboxes (But this is with large power figures in the 600 bhp + region).
For real world use results can be pretty impressive when tuning production cars. Don't need to chase huge numbers for road use - say 100 - 150 bhp more is ample, but very useful gains can be made with fitting slightly larger elements inside the Diesel injection pump and increasing boost a little bit. These include much faster response (more fuel injected faster means it'll respond to accelerator inputs faster too). Black smoke is only produced from excessive fueling. Turning up the boost gets rid of it, or reduce fueling through adjustment of rack setting on the pump.
Diesel Meken in Sweden is doing some pretty cool things for Mercedes & BMW Diesel engines. https://www.facebook.com/dieselmeken but there's also a lot of expertise in Diesel tuning in Norway such as a company called Myna.
As Miguel has said above, Diesel tuning is huge here in Sweden, a lot of the guy's I work with here at the mine are big into this and they had a little meet just up the road from me a couple of weeks back.