I have a Ford Mondeo Zetec S 2.0 TDCi fitted with a TUNIT device from
www.tunit.co.uk It has upped the power from 130BHP to 155 and economy hasn't changed. They work very well with small TDI's too. Example the renault 1.5 DCi 80 went up to 105BHP!!
I tried the dump valve, adds no power whatsoever, just makes a nice noise. After the tunit you should try an uprated intercooler.