I use Delo 400 (Chevron) 15w-40 in all my diesels. It is made specifically for diesels. Make sure to get the 400 and not the 100. The bottles look the same. Comes in a gallon jug. Shell Rotella is good also.

On glow plugs, I can't remember what the preferred brand is. I ran Bosch plugs in my C223 for 2 years until I put it out of its misery with no problems.

Both the oil and glow plugs are available at any auto parts store.

For the filter, what does it have now and are you re-plumbing the original fuel system or putting a temporary tank on the fender just to get it running? If the original, a good auto parts store (NAPA) can match your old one. If doing the temp tank, any inline filter will suffice very temporarialy. You will want a filter with a water seperator when you do your final install.