I am no expert, but for the most part diesel fuel is diesel fuel. You want to buy fuel from a place that has a high turnover, so as to get fresh fuel. The fuel should have an anti-gel agent in it in the winter months in areas where it gets below freezing for extended periods of time.
One alternative is Biodiesel. Biodiesel refers to a diesel-equivalent processed fuel derived from biological sources (such as vegetable oils) which can be used in unmodified diesel-engine vehicles.(Definition from Wikipedia)
Smarter people will chime in shortly.