I recently came across a good article about using BioDiesel fuel in a Golf TDI (coincidentally the car I have :). Apparently the only issue on the block going from full petroleum to B20 (20% biodiesel) is that the biodiesel will act as a cleanser, cleaning out some of the gunk in your engine. The article includes a simple link on how to change out the filter in your fuel line (which apparently should be done after a tank or two, lest it clog up).
I admit I'm intrigued to try it, hearing now it's not a 'conversion' - folks seem to be switching back and forth with no need to do mechanical changes to the car. Many people say "I use BioDiesel whenever I can, but if there's no station nearby, i can use normal petroleum diesel."
100% Vegetable oil conversions are possible, though there are questioins about glycerin buildup. Some folks at Greasecar.com have a system where you have a second 'vegetable oil' tank in the car with a pre-heat system, and you can switch from the normal petroleum tank to the veggie oil tank on the fly. Neat.
Really, the next step is to find a BioDiesel station in Boston. I'm not ready to knock on the door of McDonalds and ask for a fillup.
(Special nod to the BioDiesel Blog for the original link)

I'm not ready to knock on the door of McDonalds and ask for a fillup.
ROFL... that would be funny.