The files mentioned above have a bunch of information, but can be overwhelming to decipher. Here's what I've found out:
1- The 400E and late E320 front brakes should bolt on. The rotors are only 3mm thicker, but they have nice 4-piston fixed calipers instead of the single-piston floating.
2- I was told by somone who did it (omegabenz?) that the early 500E and SL 300mm front rotors also bolt on. I do NOT know if the late 500E and SL 320mm rotors will fit without also swapping the hub & knuckle (they will definitely fit if you do swap the hub & knucke). These are heavy and expensive and I wouldn't bother.
3- All 124's that used the 4-piston, 25mm thick front rotors had different lower control arms. Some people have problems with the new rotors touching the ball joint area, others don't. Just be warned you *may* need a later model control arm, they're cheap at salvage yards ($50/ea I think). I forget if I added that tidbit to the files above.
4- Yes you will need the larger front splash shield, they're $30-$40 each. Pull the hub, swap shields, reinstall hub & rotor.
5- For rear brakes, the 400E and 500E have larger diameter AND vented rotors. Either 400E or 500E calipers will work. However you need the 400E rotors, the 500E rotors are different as they are used with the SL rear hub. You'll need to chop off the rear splash shield. The only way to replace it requires removal of the hub, which requires replacement of the bearings, which is NOT a DIY job and is very expensive at a shop ($500-$1000 I think). 2phast just chopped them off.
For the record, I bought a set of four E420 calipers and rotors, and I plan to install them on my 1987 300D in the next month or two. I'll be taking photos and posting some details on how it works out, including the weight penalty for the heavier parts. This is a very expensive upgrade, as I am finding out the hard way... calipers will be $300-$500 per set, plus $200 for new rotors and $100 for pads, plus $100 for shields and miscellaneous items. You might get lucky and find used rotors cheap but most yards I talked to wanted as much as new!
Finally, Neil V claims the 400E master cylinder and dual-diaphragm booster may be needed to reduce pedal effort and improve stopping distances. He put 500E brakes on his 1988 wagon and was not impressed until he also did the m/c and booster. I'm going to try it stock first and only swap if I don't like the feel, as the m/c and booster change is expensive AND a big job!
Rik (2phast) is where I got this idea in the first place. He recently updated his website, so you don't need to wait for one giant page to load, you can click the link for the mod you want - MUCH nicer! Here's the URL for his tricked-out 190 with the 400E brakes:
http://www.2phast.com/190E/default.htm
HTH,