The headlights are commonly changed to Euros, so that's not a very good differentiator.
There are several things that will almost always indicate a Euro car. If you go to Europe, and pay attention to the MB's you will very quickly note the most common differences.
Most Euro cars are lesser expensive trim levels. The US cars are the large engined, top of the line trim level cars only. In Europe you will very commonly see less wood trim, cloth seats and wheel covers in lieu of Alloy wheels. You also will see lower engine size indicators in the model numbers, or no model number on the left rear of the trunk lid at all. For instance, it is rare to see a 300E in Europe. Gas is just too expensive there for them to drive cars that use more of it. So it is much more common to see 260E's, 200EE's, etc.
Hope this helps,