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Unlike a gasser, where you tend to spark plugs, distributor caps, etc., on a diesel keeping the filters clean and the oil changed regularly is vital. The overall cost of maintenance is pretty much the same as on a gasser, but it's oil and filters instead of plugs and wires.
Are they reliable? How long to first rebuild?
There isn't a more reliable engine on the road than a well maintained diesel. They're designed to go 300000 miles before major internal repair, and if kept up properly, they'll go much longer.
Is the manual transmission good? (what kind....ZF 5spd?)
From what I hear, the tranny itself is OK, but the design of the flywheel is lame. Many that have had trouble with their dual mass flywheel have opted for an aftermarket model that isn't so prone to problems.
What kind of mileage do you get (4wd)
Many get 15-16mpg around town, and a little better on the highway. I typically get 19mpg+ on a trip, but mine is a little better than most.
What kind of price would it go for private party? (95 f-250 stick 4wd xl model)
That's the most difficult question you've asked!! There are so many variables, it's hard to put a price on a truck without knowing the condition, miles, and to a great extent, what part of the country you're in. In the Seattle area, I'd have to pay a lot more for the same truck if it were in Texas. Your best bet is to click here, and see what similar trucks are worth in your area.
I hope this helps.