There are a lot of options, many of them are pretty expensive. The more common engines will be less expensive, less common are more expensive. The size and weight of the vehicle will really determine what engine would be best, so you really need to figure out that part first.
The VW 1.9 TDI engine is pretty damn capable and with a change of injectors, turbo and a ECU tune it can make well over 300 ft/lbs. That said they have an immobilizer built into them which means you need to keep the factory key switch, gauges, etc, etc. The older VW non-TDI's are 1.6l and mechanical, which makes them easier to swap but they don't have the power potential. Both VW engines should average 40-50 mpg in smaller vehicles, less in larger. If you are thinking about a 4x4 and older Toyota PU is borderline too much weight, from what I understand.
Cummins makes a 3.3l diesel engine that is pretty damn capable, it would be great for a small 4x4 and should pull down MPG's in the low 30's. They can be found in street sweepers, skid steers, etc.
The Mercedes OM617 is a 3.0l 5 cyl and it's pretty popular for swaps, but it doesn't have much power potential from what I've seen. You can't turn them up too far, even the turbo charged ones, the injection pump is the limit. In a 4x4 they seem to get high 20's, but barley have enough power to push a rig around. I've always wondered if you could add propane to OM617 to get more power & better MPG's.
If the vehicle you're considering is pretty light, you could look into an engine from a reefer (refrigerated trailer). I don't recall what size they are, but IIRC many are Isuzu motors (good quality), but non-turbo and low power. I know nothing about modding them and it doesn't seem like there's a lot of info out there.
