VW TDI check engine light

I have a 2000 Jetta TDI diesel. My check engine light went on about 4 months ago (the lightning bolt into the engine one). Called the dealer and told me to come in and they would check it on the computer. Said it was no problem and not to worry until the next service. They replaced the glow coil and it went out(the warning light)but came on about 2 weeks later. They have replaced the glow plug 4 times now and I continue to drive around with the warning light on and they say not to worry. Anyone else having this problem with their diesel??? I hate to continue with the light on, if something really is wrong and I disregard it as the dealer has suggested.
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Can you post those? Or find out what they were?
I think replacing the parts without finding out if they are bad is just gonna cost you money.
There are specific diagnostic charts for the trouble codes and most dealers just replace the parts without diagnostics on warranty, because the manufacturer gives set times for diagnostics and if they do the diagnostics, they lose money.
If you can post the trouble codes they found, we might be able to help you out with possible causes.