If you go to the DYI section on this site and click on
'W124 stereo removal' it will tell you how to remove your
ashtray. The information you need is part way down the page.
I found that when I removed the ashtray, I managed to remove
the lighter too.
I had this same problem you described and I suspect that
you'll probably find that the two connecting wires at the back
have been severed. Therefore, there's no power to heat up the
element on the lighter and so it gets stuck. You can pick up
two sheilded connectors at your local electronics shop and
make the repair yourself.
It's not a difficult job.