1) replace your glowplugs and take a file or sandpaper to all glowplug-system connecitons. The car is 16 years old, so there is bound to be corrosion everywhere.
2) when was the last time you had the valves adjusted?
3) when was the last time you had your timing chain stretch inspected/adjusted and injection pump timed?
4) make sure there are no leaks in the fuel system

I'll admit, I don't own a Mercedes, but I do own a VW diesel, and I can tell you that addressing the above 4 outlined things will make a HUGE difference in the way your car starts. As for the valves, I don't know why, but most people never even have heard of "getting valves adjusted," but I can assure you it is REALLY important for your motor.

As for the fuel leaks, your fuel system should be completely dry. I know many people see a little leak and think "no big deal." But with a diesel, a little leak IS a big deal, even if the leak is in the return line. Any amount of air in the system = hard starting. Make sure none of your injectors, fuel lines inbetween injectors, or any other line from or back to the tank have any signs of leaking whatsoever.

Before you spend any money on anything, have this stuff addressed. Good luck.

Greg