I'm no expert but I believe the sulfur content is higher in North American diesel, but that's not too hard to handle, I think that's the old excuse and there are fairly clean ultra low sulfur diesels you can now buy. To pass California emissions, you need to put some sort of aqueous urea tank in to the exhaust system like an AdBlue or BlueTec and those cost a couple thousand dollars (I want to say it's like $3000 on a diesel sedan like a Subaru or the 320D)

I'm not sure why the costs are so high, it may be a patented technology, there isn't anything terribly exotic in it though.

If you can legitimately get in the 40-45mpg range, it's still a pretty good deal. A Lexus RX hybrid still only can get like 30mpg.