If you have a PD motor in your TDI: my05-06 in the US, you also have an extra fuel lift pump for the grease side of your fuel system.
The other day I experienced stuttering while under load (going uphill or hard acceleration).  Only happened in grease, not in diesel.  Felt just like the grease side filter was clogged, but I had just changed it 2K ago and my filters last basically indefinitely.  I change every 10-15K just for the heck of it, but I have not clogged one since 2005.  So I tried the purge trick: a clogged grease filter will get better for a short while if you purge for a few seconds, that is only if your return is plumbed after the filter.  If the return is before, you never purge your filter so this won't work.
 
Purge trick did not work.  Only other thing I could think of was a bad lift pump.  Made sense since the lift pump only assists the PD tandem pump, meaning it would run fine except under load.
 
When I got home I shut down but left key on, activated grease system to see if pump was working/making noise.  It seemed to be, it was making the little clicking pump noise, but was maybe a bit loud.  So I disconnected the hoses, connected two separate hoses and put them in a small container of diesel to see if it was actually pumping.  Nope, it wasn't.
 
Swapped in a new one and off I went.
 
So to anyone with a PD, keep this info in the back of your mind.