Can anybody explain to me what this whole Diesel Euro 4 DPF thing is all about?

I've been looking at getting a Diesel for the first time as some of the new engines like the BMW 2.0 litre diesel teams impressive 0-60 times with amazing fuel consumption.. normally 60+mpg. However after doing a bit of research i've uncovered lots of forums warning of Diesel Particulate Filter (DPF) replacement costs on newer engines? Can someone please enlighten me as two what the hidden costs are of owning a new diesel car? Many thanks in advance.