Two parts - PIAA bulbs:
On my '95 E420 I use the PIAA super whites and have been very, very pleased. The look is good and their wattage is the same as the OEM H4s, so no additional strain on the alternator. This is a consideration if you've upgrade your stereo system with a couple of amps & a sub-woofer.
I've used other brands, but the PIAAs have the best durability and difference between them and Sylvannia types - pardon the pun - is day and night! I don't care for the purples - if you don't have projector type headlights, it just looks cheap and like a wanna-be. The super whites blend in nicely and don't out of character with 124 body.
Also, any above the super whites and you'll constantly get flashed by people. It's fun to flash them back with Boeing 757 High Beams, but it gets old after awhile. Also, at night you just drawing more attention from the police and a possible citation for not having US street legal lighting.
And part II, DEPO lights:
Within one month of moving to Seattle (about a year ago) one of the headlights picked up a rock chip (about the size of quarter). So, I replaced the headlight with the DEPOs and put in the same PIAA super whites (both in the headlights and fog lights).
WOW! It looked a thousand times better. Even my friend who don't know jack about MBs said they looked good (and without me prompting them for compliments). With the S600 grill, new headlights & clear corners, the front end looked like a much newer car.
The only thing I don't like about the DEPOs is that they are had to adjust (the adjusters are hard to reach and you need a finger tip grip like King Kong).
In a prior post I said the quality wasn't as high as the original lights. Tonight I sat down and compared the two. Turns that the difference is the E lens vs the DOT lens. With the E lens it's easier to see through the glass and see the internal headlight workings. So, it's easier to see a gap at the bottom of the light (on the inside). The same gap is present on the OEMs, but the DOT lens obscures/distorts your view to the inner-workings, so it isn't as noticeable.
As the others suggested, go for the headlights first since you have the older style. If they still are not bright enough for your taste, add the PIAAs.