On Road diesel fuel in the US today contains much less sulfur than it used to many years ago. Current standards require the sulfur content be held to 500 ppb or less (could be ppm - cant remember of the top of my head). This was done mainly for emissions reasons. The sulfur contributes to sulfur dioxide emmissions, which is a major contributor to smog.
The old story was the low sulfur fuel was bad because it decreased the lubricating properties of the fuel. In reality, this is an old wives tale. The real story is that some refining processes to remove sulfur also removed other things that assisted with lubricity. This has been overcome with better refining processes and the use of lubricity enhancers.
New regulations will take affect in 2006-2007 that will lower the allowable sulfur in on road diesel fuel to 15 ppb. This will drastically reduce emissions and allow the use of convertors on diesel engines with a longer life. It should work fine in older applications with the corresponding reduction in emissions. The driving force here is to allow the use of other devices that will reduce emissions of diesel engine seven more in the future.
Diesel is commonly availible in three grades: No. 1, No. 2, and No. 4. No. 2 is what is the most common and is generally sold everywhere. It provides the best balance between lubricity, power, and energy. In colder weather though, the "junk" in diesel fuel starts to show up. Straight No. 2 starts to lose its ability to flow at temperatures of around +20 F. The waxes in the fuel start to congeal and turn into what can basically be called Jelly. This usually cannot make it through the fuel filter, although it can usually make it through the fuel lines. Fuel filter heaters can reduce this affect and get you to about -10 F.
In regions where cold weather is common, retailers sell "winter" diesel. This is usually a blend of No 1 and No 2. It is adjusted depending on forcasted temperatures. Additives may also be used to improve the charecteristics of No 2.
No.1 is essentially a lighter weight diesel that doesn't gel until much lower temperatures. It is similar to Kerosene. However, it generally costs more (has to be refined more than No. 2), and decreases fuel mileage because it has lower energy content. It will also start better than No 2 when cold.
You won't see No.4 sold basically anywhere. It is essentially a thicker, heavier, fuel.
Hope that helps!