The biggest thing you will need to look for is the turbo itself, when starting the car look or listen for noises. The turbo will be loud even only on idle, that will mean that it is busy going. If not then it should be ok, but when purchasing it do and oil change immediately and have the turbo looked at, seals etc.
Friend of mine bought one and the turbo popped due to well he drove it like an arse and then the previous owner didn't look after the car. Look at the car itself and see if the car is well looked after, no nicks or damages to the car etc and then make the decision. Best would be to take a bmw fanatic that has a diesel with you to drive the car and tell you how it is, do that and you will be sorted. Also don't like the full history short thing but hey, if you like the car then why not.