First, let's clear up a few misconceptions. There are no Bosch 500E/E500 Euro lights. Only Hellas. For standard W124 Euros (with fogs), there are both Bosch and Hella available.
Second, the 1994/95 USA DOT lights really are pretty decent. The Euros are a little better, but it's not a huge difference. A 94/95 USA DOT is MUCH better than a 86-93 USA DOT. And all Euro lights are a billion times better (approximately) compared to the awful 9004-bulb 86-93 lights (which Mercedes should be embarassed to have ever installed in the first place.)
Third, I would NOT recommend doing an HID conversion. Scott (run.exe) had an extensive thread on this recently, use the "search" feature. He already had the HID parts but after researching it more, he sold them & went with relays+Rallyes. The light output is all wrong with the reflector housing. Please, forget using HID. Use Philips Rallye bulbs (130/100 H4, 100 H3) and a full relay kit. The lumens output is actually higher than HID on high beam, and almost as good on low beam. And more importantly, the dispersal pattern will be correct. Until someone makes a projector assembly for W124's, forget HID (and I doubt anyone will - not enough demand). I used the Rallye bulbs with relays and the output is mind-boggling. Honest!
Fourth, yes, PUMA can get the 500 Hella Euro lights. The 500E lights are now up to $480 plus S&H, including bulbs and connectors. The E500 lights used to be $200+ more, so I'd assume $700+ for E500 lights from them (please post their price quote so we know). I bought my two sets of 500E Hellas from PUMA and was very happy with the service. The prices have gone up in the last 6-9 months thanks to poor USD-EURO currency exchange rates.
Fifth, I just located a source in Germany that can order OE Genuine Mercedes parts. They can get E500 Euro lights direct from Mercedes-Benz in Germany, in original MB package, etc for about $375 (USD) (pair), plus probably $50 (USD) shipping. I don't know if bulbs are included - I'd assume not, but so what, you'd just install Rally or +50 bulbs anyway! That price sounds amazingly low - I'd email them and have the price and part numbers verified. They do accept credit card, which is helpful - most Euro companies want a bank wire, which often costs ~$30! BT, DT. Email them at:
INFO@SPEED-AUTOTEILE.COM and you should get a reply from Roland or Christian.
Sixth, all halogen bulbs are NOT created equal. I would strongly recommend ONLY buying halogen bulbs from either Dan Stern (dan@mbz.org), or PowerBulbs.com - both places only sell the GOOD bulbs! There is a lot of crap on the market, and the "good" stuff is not sold retail in the USA. If it's on a shelf in a store in USA (for H1/H3/H4 bulbs!), it's probably junk, regardless of the brand (Hella, Sylvania/Osram, Philips, etc). Well, maybe not JUNK, but definitely NOT the best available on the market! Only "+30" bulbs are sold here, the Euro-only +50's are much better. And only use Philips or Narva "rallye" bulbs. Avoid PIAA like the plague.
Last, here's some photos of my relay setup for my 500E lights in my 1987 300D:
http://www.meimann.com/images/mercedes/W124_headlights/
HTH,