I have a 1987 260E with an automatic transmission and 145,000 miles. I live in Calgary where the driving conditions are similar to Denver, i.e. 3,500 feet elevation, trips to the Rockies, etc. I use mid-grade rather than premium gasoline and I get 20-21 mpg in the city and 26-27 on the highway. The W124 body has a drag coefficient (Cd) of 0.3, but the frontal area (A) is slightly larger that the W201's, resulting in identical Cd*A factors for both vehicles. This (final drive ratios aside) should indicate similar fuel consumption at a constant highway speed. In the city the weight of the vehicle comes into play and, given that the 260E is slightly heavier, it would take a little more fuel to accelerate its larger mass. All this seems to be in good agreement with the numbers you guys are getting.
And, BTW, the W201's Cd of 0.33 ain't that bad for an 18 year old design. No SUV comes even close.