To improve the on road (and off too) driving experience of a TD5 it's good to do the following....
Remove EGR - Go for a good kit with all the right parts, like the one from Ian at IRB Developments. ~£60
Non - Cat exhaust - Replace with standard cat from pipe with a stainless steel straight through one, available on ebay, TD5 Alive, IRB etc ~£75
Remap - A stage 1 remap will provide a good increase in bhp and torque and make quite a dramatic improvement to driving it on road.
If you go off road quite a bit then also change out centre box for a straight through stainless section, as the standard large centre box gets smacked about.
Steve