By and large, work done at dealerships is better because they are better and more consistently trained. The work is more expensive because their labor rates are higher and because they use only OEM parts at full list price. Dealership technicians also have better tools and resources: they have the help and advice of the not only the shop foreman, but also their fellow technicians; they also have the Star diagnostic computer system.
However, there are independents out there that are as good or better than dealerships if the shop has exceptional technicians that acquired their knowledge either from the dealership or years of experience.
But I believe most owner / operators of independent Mercedes Service and Repair Facilities began their career at a dealer and are therefore "factory trained" anyway, so the distinction between factory trained dealer technicians and independent technicians gets blurred.
Like Bud said, I would only go to an independent that had a "national reputation", or at least a large following and recommendations from members on sites like this and probably members of the Mercedes Benz Club on North America or other similar Mercedes Benz Enthusiast Clubs.
I've had bad experiences at three different Mercedes Benz independents near my home in Southern California. I drive 52 miles one way to the world-famous Enrique at Mr. MB Motors that is so highly regarded by others on this site. But then again, he is a factory trained technician that has been working at Mercedes dealerships since 1965 in Europe, South American, South Africa, and Beverly Hills, CA.
I'm also interested in seeing what Stevebfl has to say about this topic. He's commented on it from time to time...
2001 E430, Bourdeaux Red, Oyster interior.
1973 280SE 4.5, 170,000 miles. 568 Signal Red, Black MB Tex. "The Red Baron".