Just like the above replies said, it depends on the part. When you have specific questions, search the archives here because somebody has probably asked about it before. If you're in need of major parts that are expensive and hard to replace, then OE with the star is the way to go.
Something good to know is that the Mercedes warranty covers parts and labor even if you did not pay them for the labor. Yes, even if you installed it yourself, the dealer will replace the part including labor under the warranty if it fails.
Another good thing to know if you need expensive dealer parts is that most of them offer a discount to Mercedes Benz Club of America
members. Around here the dealers offer 10%, but some people get as much as 20%.