You could have a blocked matrix.It is possible to cure this by bacflushing the heater with a garden hose attached to the heater pipoes under the bonnet.

 

I had the same problem last winter and found a number of issues. 1st being the auxiliary electric pump had failed. It sits underneath the coolant resivior and feeds coolant through the heater core. Jag dealer wants $400+ for the part. It is the same pump on an 02 jetta 1.8t which you can buy on ebay for $80. After installing that, I actually had heat. Still not that great on the drivers side though. I also had a faulty thermostat and the engine wasn't getting up to temp, replaced that, more heat. I talked to a friend of mine that has been a jag tech for 30+ years. He said there is also a piece of foam insulation that falls off the blend door and partially blocks the heater core. You can access it by removing the glove box. I haven't looked at mine yet. The other problem is a faulty sensor in the hvac box, have it scanned for faults. And of course, flush the cooling system and heater core.