Does anyone know how hard or expensive it would be to import a vehicle from Europe? I'm going there later this summer and I really like the idea of an affordable BMW or Volvo or Audi that runs on diesel and gets 40+ mpg.

You're not looking at just the cost of shipping the car but also it would have to be retrofitted with whatever it needs to pass safety as well as emissions requirements ! Could be quite expensive in the long run and be a huge hassle to boot !

oldblue65 is on the right track, and I like to add any vehicle you will find for sale in Europe compared to US prices will be much higher and that is without tagging on any extra cost , your idea is thoughtfull but not fesiable

Way don't you buy a Jetta or passat diesel that can be bought in the US, and you'll save yourself a headache