I did my first brake job on my W124, earlier this year.
A dirty but very straightforward job. Probably one of the easiest ways to save a good chunk of money.
Have all the tools mentioned above.
The pin for hanging the wheel on from the tool kit in the trunk is handy to have out.
Blue Loctite for the caliper polts.
Small wire brush for cleaning bolt threads.
New set screws for the rotor already have Loctite.
Be gentle with the bleed screws. They crush easily.
Have eye protection on when you are banging on the old rotors to break them loose. A rubber mallet or a BFH is sometimes needed. Liquid Wrench or some other spray will come in handy.
Brake cleaner for cleaning off the coating on the new rotors if needed. Use the brake cleaner for that last wipe to remove greasy fingerprints from the rotor before buttoning up.
Steel wool for cleaning. Smear anti seize paste where things can rust together.
Be gentle when prying the olds pads loose.
Tuck the sensor wires under the clip.
You might even consider repacking the front bearings while you're there.
If you are changing brake fluid, make sure you are on a relatively flat surface, and the rear cell of the brake fluid resevoir stays full of fluid as you flush.