This problem can be due to an accumulation of carbon on the end of the glow plug due to an over-active EGR valve. My '96 E300D (same engine) had one glow plug that was a little sticky but eventually came out. After disabling the EGR valve (for testing) I have not had any more problems.
As far as removing your glow plug, there are "split nuts" that you can buy and apply to the glow plug threads; this acts as if the head is even thicker and gives greater purchase in gradually pulling the glow plug out. There are probably other tools that accomplish the same thing. In any case, gentle wiggling (squirt penetrating oil in to soften the carbon) works better than hard yanking, which might break the glow plug.

Jeremy

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"Buster" in the '95

Our all-Diesel family
1996 E300D (W210) . .338,000 miles Wife's car
2005 E320 CDI . . 113,000 miles My car
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