Diesel Touareg Test drive

[5STM5]

I have never owned a diesel vehicle, but took a 2007 2.5 TDi Touareg for a test drive today. It felt really rough until the engine warmed up, but even after that wasn't really a smooth drive. Is this what to expect in a VW diesel, or could there be a problem with the car?
Just to clarify, when I say rough, it was a small vibration felt in the car, but also the engine noise was loud inside the car.
The car is a 2007 65K miles vehicle.