Unless something crazy happens with fuel pricing or SHTF, diesel is going to be a bad financial investment by itself. I think the economics only possibly work if you're going to do an engine swap anyway that's a different than OEM engine and then apples for apples, the mileage may add up if you really put on the miles, especially if you're towing or off-road a lot.
Looking at vs a new vehicle I think financially a swap looks better for the DIYer that finds this stuff exciting, especially if you want a Wrangler (I just won't buy a new vehicle with poor MPG and premium costs me more than diesel) and you're going to keep it for a long time. I think the Colorado I was looking at was like $45k and I already had the TJ and wasn't going to get rid of the TJ.
~$9k LJ
~$20k Engine Swap
~$1500 Trans Rebuild/Swap
~$3k Atlas (can an LJ do a doubler?)
~$3k Parts for Axle rebuild with lockers and stronger shafts
~$2k suspension update
~$2k MISC
Don't forget the Tax man on new vehicles and they force you to have insurance, which tends to be very expensive relative to an old Jeep. For insurance I buy the minimum that won't financially ruin me.
I assume you'd want around $15k for a down payment on a new vehicle, but I haven't purchased a car new before so you're pretty close to being able to do the swap anyway.
Any new built 4x4 diesel is gonna cost more and that list is probably stronger than any similar OEM, but resale isn't as good. Swaps are very scary for a buyer, so finding one swapped is the best way to get a great deal.
There are some smaller diesels hitting the lots, but I actually like the Cummins more than the baby max (just general specs like head and block material, never drove the Colorado and I never drove the Cummins before purchasing it). I don't know much about the other offerings. I think from a KISS standpoint I'd want a 4 cylinder turbo diesel over a V6 turbo diesel like the VM eco-diesels, but if you need more power and torque a V6 will do it, but it's not necessary in a 4k lb vehicle (not sure if Jeep even really offers this yet for a Wrangler). The inline 6 that I think GM is putting in the Silverado (maybe?) is very interesting, but I think the truck is too big and I'd rather just have a 3/4 ton 5.9 Cummins and those engines are built pretty well for a used $15k truck.
MPG will likely be better with the same mods for the custom setup. Labor is just gonna have to be for the experience/fun and there's nothing else in the US like it, especially ones that are relatively legal.
Ergonomics will be worse for the custom setup, but the custom setup is pretty simple as far as repairs go and IMO noise is the down side to the older Jeeps vs newer vehicles. But doors off/top down, anything is very loud.
That's just kinda quick off the top of my head for a comparison. AC kinda complicates the Jeep build stuff. With the doors off, I find the Jeep to be comfortable for this mild summer. I feel like AC makes it harder to work outside during the summer heat anyway, but I certainly understand having it and will likely fix the AC in my truck one day.
