Best bang for the buck would either be Shell Rotella T6 or Schaeffer 9000. You could even run any of the fine 15w40 oils (Rotella, Delvac) in the summer but please not in the winter.
Mobil 1 Turbo Diesel Truck, Amsoil DEO, Pennzoil Ultra Euro, Pentosin HPII, Lubro Moly High Tech or any of the name-brand 5w40 CJ-4 oils will do fine. Factory OCI is 10k miles, don't change it any shorter than that! But do keep the level topped up.
As far as filters go, I prefer OEM: Hengst, Knecht, Mahle, Meyle, Mann (W840/2) or Bosch. Wix also makes excellent filters (reboxed as Napa Golds) and are available from Rockauto for under $7. Mk3s have a spin-on filter and can also use the revised filter for the mk4 1.8T engines for a slightly larger sump capacity (cf. Mann W940/25).