These are very sturdy cars. The specified oil change interval for these cars is 3,000 miles, don't stretch it. Change oil and filter, draining it hot and for a long time, helps get the sooty grunge out. Use what is called Universal grade oil. This is the oil the truckers used. Examples are Shell Rotella and Chevron Delo.
Change both fuel filters and the air filter every 25,000 miles. Get a Haynes manual or the CD sold by mercedesshop for the fuel filter change and bleed procedure.
Keep an eye on the soft tubing that daisy chains along from injector to injector, and especially don't overlook the plug at the back of the rear injector, these will ocassionally blow out and wet down the engine compartment with fuel.
When it gets hard to start one cold morning, replace all five glow plugs.
Also, when it starts blowing hot air instead of cold or visa versa, replace the mono valve on the firewall next to the battery.
I can't think of anything else that is not just things you would watch for on any automobile.
Good luck and enjoy it,
'84 Euro 240D, 516K miles
'88 300E 5 Speed
Over 800,000 miles in