I've noticed the same thing with my 560SEL.
It happens most frequently on the front pass. door. I think it's the interior piece that runs under along the window and squeaks against the dash. Not sure, as I take a rag doused with Lexol and rub on ALL door panels where they touch the weather-stripping or any other plastic surface. Seems to work for a while, worse in the cold of course. I've heard of people using x-country ski wax which lasts much longer.