Both 105 and 140 are TDI versions of the engine not PD engines sadly.
there are two versions of the TDI one has DPF filters DO NOT GET THIS VERSION. DPF's costs a bomb should they go wrong and they also effect the fuel economy of the car.
the 140 has to meet euro 4 standards this means lower CO2 output and diesel particulate filters. This reduces the power and lowers the MPG/
"some" of the stuff above is true (the water pump issues). but this only effected the 1.9 PD engines not these 105/140 TDI engines, the issue was fixed by this time.
The 140 is not the best, it's maybe the better TDI engine but and true VAG-holic knows the 130 PD engine is the best/strongest engine
The 170bhp edition are actually being de-tuned by VW due to DPF issues (getting lights on the dash due to the DPF getting over coked with soot, google search we have members on our forum returning cars to VW and then having them rolling roaded and proven to have less power than VW claim, this in-turn has allowed them to return their 170's back to VW for refunds, also effects audi drivers too).
addressing the turbo comment above it's true but not correct. it's the 1.9's that have the Variable vein issues on the turbo's not the 2.0's.
this is an issue where the turbo becomes coked up and the veins stick inside the turbo. an actuator moves the veins under hard acceleration to get better performance but what happens is these veins stick and jam OR the actuator sticks and doesn't return them back to normal position.
ski's comment is bang on the money, swap the water pump with the cam change but this only applies to PD engines pre 03.
as for steveh i have only ever heard of the 6th gear issue once and that was fixed by replacing the pin £3.19 cost from VW never once have i heard of it dropping into the box (and i would be surprised to as the pin screws in from the outer of the casing into the selector shaft which is 8" above the input shaft and still inside the gearbox housing, only way it would drop in i could see is due to it snapping ans someone not being careful and dropping the snapped part into the gearbox) i have seen a worn pin that caused selection issues.
there are a lot of false truths about VW engines (as there are with others too)
Depending on how new you want the car i would suggest looking for a 130PD in a golf or bora, they have a 6 speed box, return 48-50mpg easy (if you do a few motorway miles and drive nice you can get 52+) i would look out for the sticking veins issue (this is normally more common on "softly" driven cars as giving it a regular boot will keep the actuator working unlike ones where owners have pootled about and never used the VVT function. hope this helps a little (if you need this info mail me i can hopefully help).