In reply to goldmember:
They just mean things like turbo diesel injection though not sure what the s and h stand for, just different manufacturers making up names really. Common rail explanation here
http://en.wikipedia.org/wiki/Common_rail
One thing to bear in mind with deisels, to get massive mileage out of them you do need to change the oil regularly and the fuel filters, the more modern the engine, the more important this is. It isn't hard (certainly on the Peugeots) so you could easily DIY and the parts are cheap.
When buying, try and get evidence of when the cambelt was last changed and if you can't, assume it will need doing. If a cambelt breaks in use then the engine is effectively written off. Its rare and usually because people have gone over the mileage interval, normally about every 70,000 miles but you should get it done well within that. Its not a DIY job so expect to pay £200 - £300 depending on what type of garage you get it done at.
Some deisels (eg Toyota Avensis) don't have a belt.
Finally, I'd avoid small deisel engines (below 1.8) which appear to give great performance. For example, some Clios have a 1.5 engine which gives something like 130bhp and 65mpg. Sounds great on paper but squeezing that kind of performance out of a small engine comes at a price and that's longevity. These engines often self destruct somewhere between 70-100k, usually just when they're out of warranty!