Thick white smoke and a lumpy idle from a cold start which then clears and progressively smoothens out as the engine warms up would seem like air in your fuel to me. It could well be other things and no doubt someone will mention your glow plugs but tdi engines don't really need glow plugs to fire up and they should then idle uniformly. It will tick over slower from a cold start but it should never be rough or lumpy. Take the fuel filter off and check it's not clogged first and make a not of the fuel level in the filter. Also check all of your fuel lines for signs of leakage / damp. Pay particular attention to the spill rail pipework between the injectors (small lengths of rubber pipe). If you have a split, tear or a loose connection here, air will find its way into the system and fuel will find its way out of the injectors meaning that every time you fire up, the fuel system is priming (expelling air) before it runs correctly.
If it is not air in your fuel, it could be an injector that is sticking or dribbling, low compression or a number of other more expensive things. I had a similar problem and an intermittent misfire for well over a year. Only this weekend have i taken the head off and actually found there to be quite a few problems inside the engine which I am now now with sorting. Mine ran rough all the time though, even when warm.
-Tom
