I saw a youtube video of some chap who was from the US recycling takeway oil to run his golf a few months back but i can't find the it now. He had a second tank in the boot and was filtering the cr*p out of the oil in his garage. He had a switch on his dash to switch from the diesel to the veggie stuff.
I wouldn't want to damage my engine, but i guess if u have a crappy old deisel car and you were hard up it might be a good way to fuel your car. I am interested in this stuff and have thought about doing it before.