Go here http://www.edmunds.com/
and choose the car you are interested. Then follow the directions to get a price with options for your Zip Code. This is the price that the car is going for in your area.
The car market is depressed right now so you can get some good deals. However, I've noticed that the new E-Class is selling for over MSRP in my area while almost all other dealers including Honda are really dealing.
The best time to buy a new Mercedes is at the end of a model run. I bought a brand new 91 300E in September of 1992 for $37,200. This is because Mercedes usually offer a dealer rebate on discontinued models. You have to be ready when the time comes to take advantage of it. Buying a discontinued model is no problem if you are going to drive the car into the ground which is the only way to do it with a Mercedes.
American cars are being offered with interest free loans and no down payment. Of course they are still a poor investment (see the Complete Car Cost Guide or the True Cost of Ownership on Edmonds).
Right now you can get a Lexus LS430 for less than what an E500 will cost you and it's much bigger, more reliable and has a better warranty.