Well I dont kow lots about diesels.. but I'll do my best...
it kinda sounds like the battery is low.. I've seen that a lot where the battery is too low to start the car and it just sits there and goes tick tick tick tick tick while your trying to start it.. but since you say it starts up fine on the second try kinda leads me away from your battery being defective.. cause theres no way there would be enough cranking amperage left after trying to start the first time to be able to start fine the second time, but you may want to check it out anyway.
Its a possibility its the starter, there is a trick to figuring out if it is the starter while it wont crank, u get a prybar or something long you can put on the starter then you hit it with a hammer while cranking.. most times it will giggle the starter and then let it work, but since you say it starts fine on the second try everytime it may not work.
what year is your W202??
do you have a check engine light (we dont have W202 diesels in canada, on the W210 diesels they have check engine electronics light).. does your glow plug light stay or come on at all when letting the plugs warm up?