Go here and start reading. :D
http://www.lostjeeps.com/forum/phpBB3/v ... d2be5941f6
05s suffered from most of the weird issues (like the torque converter), but be prepared that there are different regular maintenance items for the little diesel. The biggest on my mind is the timing belt is a 100k replacement and it is neither easy nor cheap. I'm waiting til it warms up before tackling it in our 06. parts can be hard to come by and those that you can find are expensive. Motor mounts and blown turbo hoses are common issues. Do your homework and find a competent diesel mechanic to take it to should the need arise. Don't just assume your local Jeep dealership can handle it. Be prepared that oil changes are expensive. top o' the line Mobil 1 stuff all around.
If you trade, look into the V6 air filter box swap. The diesel filter box just lets in all the crap on the road. Haven't needed a new filter since I did that mod. :D Oh, and get the bigger oil filter.
In my mind, fuel economy is not a good enough reason to take on a diesel. Diesel is more expensive and can be surprisingly hard to find sometimes when out on the road (especially late at night or out in the boonies).