According to Parkers...
Polo 1.6 gti - 125bhp, 0-60 8.4 secs, 39mpg, road tax band E (£205 from next year), insurance group 12
Audi 1.9 tdi - 128bhp, 0-60 10.2 secs, 52mpg, road tax band C (£125 from next year), insurance group 13
39mpg in petrol equals about 44mpg in diesel when you factor in the price difference between the fuel - so no huge difference in costs there. Insurance not too far different either. Road tax nearly double for the VW but it's only an extra two quid a week. The extra torque of the lower output diesel will probably make it feel as quick as the petrol Polo, but the Polo will have more top end grunt - ideal if you drive boy racerish but probably nothing between them if you drive normally. As previously mentioned the Polo will almost certainly have been thrashed where the Audi probably won't.
Personally I'd go for the Audi. Better sound insulation, seating etc. Read the parkers reviews for some more info. The 2.0 diesel Audi would be my pick of the bunch but it's newer and dearer.
Also worth considering some Jap rivals - the Civic, Corolla/Yaris/Auris. I'd stay away from Nissan tho as they're basically Renault now.