After model year 85-86 Mercedes bumpers and side impacts are all US spec or better, standardized from factory. Your headlights can be passed of as an upgrade but they will need to be re-aimed slightly higher. Make sure you have a catalyic converter, some Euro benzes don't and this is a must for the US. Parking brake system is the same. Side light markers are important and are probably the easiest modification. Third brake light is important although the presence of vehicles without them on American roads means you can get away without one, same goes for the side markers. All in all with regard to lights it really depends on what State your going to reside. Also check the NHSTA website for import details. Go here also http://www.customs.ustreas.gov/travel/auto.htm
Please note, if you want to sell this car in the US you will probably get below market value for the car despite your modifications because it will still be considered a grey market vehicle if you bring it in yourself. On a happier note there will be some mercedes enthusiasts like myself who would still buy it of you
It is all not as easy as you would expect...good luck!