Stuff I've seen myself or heard of - there are probably plenty of others:
1. Oil in the ECU as mentioned, under the drivers seat - fixed by fitting a new injector wiring loom under the rocker cover
2. Diesel in the oil - the o rings fail on injectors, leaking fuel into the engine
3. Diesel leaking from the drivers side of the engine from a fuel regulator
4. Water leaking out from a cooler blanking plug underneath the exhaust manifold
5. The dreaded oil pump failure in early TD5's - a bolt becomes loose, oil pressure dies and one broken engine. Later TD5's don't seem to have this problem (I've got 2 TD5's, 53 and 04 reg, both done over 100K and not seen this. I touch wood quickly.)
6. The wrong gasket being used with the rocker cover when an injector wiring loom has been fitted, leaking oil down the back of the engine
7. Oil leaks from the sump gasket (but it's a land rover - extra rust proofing for the front of the car)
8. Oil leaks from the rear crank seal
9. Head gasket failures - a big deal if the head warps - so check for oil in the coolant and vice versa
10. Injector failure - the engine tries to accommodate this but can only take it so far. New injectors are pricey.
11. Turbo failure - but any turbo really, if a ton of smoke comes out when you floor it, the turbo could be on the way out or it's been badly chipped.
I've seen problems number (1), (4), (6), (7) - so nothing big so far - and not seen any of the others.
But one of the good things about the TD5 is that you can get some decent diagnostics off the ECU with the right reader about engine temps, injector performance, air flow, turbo pressure. I've a Nancom and it's good for piece of mind with the electronics.