A Jetta SportWagen weighs in at 3,300lb (curb weight) and it has a payload of about 1,000lb. Waaaay better aerodynamicity than the Jeep, same engine gets 30/40mpg (city/highway) or more. In a Jeep getting down from 40 to 25-30 (because of the squareish shape and extra weight, recon more than 500lb but way less than 1,000lb difference, see below for more) is definitely not impossible.
Also reece, you mentioned that 55lb difference in engine weight is not big deal, this was for the 2.5 it replaced. Anyone knows the weight difference between a 2.5 and a 4.0? That (plus 55) would gather you another 200lb in difference at least. That might count for something.
We're shooting the breeze here, right? We're not actually (none of us) going out and buy one right now, I guess we're just exchanging opinions. However, for the money you spend if it garners 30mpg on the highway, has 150-200hp and about 300lb/ft torque, is reliable enough to be able to take it into the wild... I'd probably go for it. They're selling everything you need to convert to it, up to 2006 for most gearboxes, including the Mercedes 6-speed gearbox. Buying a used one (LJ probably, more expensive but also more suited to long distance travel), selling the old motor and putting the new (or new to you?) diesel in would be a bit of money, probably add minimum $5,000 to the price. I don't think that's a lot, consider that when (if?) Chrysler starts selling diesel the premium you'll pay for a diesel JK will be somewhere around that.