My dad did this in 1989 on his (now my) 420SE. This is what usually happens. Euro lights replaced with US spec lights (definite downgrade), taillights are replaced with US taillights with side reflector, side intrusion beams are installed in doors, speedometer face is changed to MPH face, bumpers had reinforcements put in (worthless rusty piece of iron in my case, I removed it), if it is not certified for US emissions it will be converted so it will....a lot of euro cars did not have cats on them even in later years, so if it doesn't have one one will be retrofitted, and they may also mess with tuning/engine electronics (timing, idle speed etc) and what not to "conform to US regs".
I'm not sure if I got everything there, but that is definitely most of it. Also, since this was done in 89, some things might be different now.
My dad never said what it cost, but he did say it cost a lot (but then again, my dad is a tightwad, so anything is a lot for him). Sorry I can't give you any specifics on price. If you decide to do this, make sure you thoroughly check out the conversion and shipping companies. The company that did my car did a pretty half ass job and screwed a lot of things up and also stole the radio. Just make sure you know exactly what you are getting into and who you are dealing with before you do this.
Some people will tell you not to do this because of the foreign VIN issue and parts issue. This may be true to an extent and people have their horror stories with insurance (VIN discrepancies) and parts and service, but I can tell you just from my personal experience my dad never had any problems with insurance and service and here recently I started fixing lots of things on my car and have yet to find a US part that does not fit my car. Again, this is just my experience with a W126.
Good luck and keep us posted.
'86 420SE Euro
904 Midnight Blue, Gray Velour
Dad bought it new, now I own it.
"A Mercedes-Benz is like a fine wine, it only gets better with age."