I'll add a welcome to the new member. The question about how to inspect a diesel has a few answers.
One, you can ask that a prospective seller agree to have an independent shop do a pre-sale inspection. This can be a Mercedes dealer, or an independent shop. This method will work for older, less expensive models.
We bought our 1996 E300 Diesel from the MB dealership. The car carries a StarMark warranty, which is MBs used car warranty. They had done the inspections and replaced questionable components and certified the rest of the vehicle. That goes a long way for piece of mind, but StarMark is only available through MB dealers and only on vehicles under a certain age and miles.
My late, great 1985 diesel I simply drove, listened, and took a chance. It had a few flaws but as a 16 year old car with 225,000 miles on it was well worth the money I paid. Then it was killed in action before I had a chance to do much.
The 1996 diesel gets around 30 mpg. Right now diesel is $1.48, while Regular is $1.78.
The diesel doesn't accelerate as quickly as the Suburban, or the Audi, but it will keep up with most traffic quite well. Freeway merges mean a bit of planning and running up to speed as soon as we can, even if we have to slow up a bit, but it's quite comfortable. The 1985 E300SD turbodiesel was also OK in this department.
I hear the 240D, non-turbo, is less comfortable. It depends on how comfortable YOU feel with a slower car. I've driven some gasoline engine underpowered 'economy' cars in my time that were also really slow.
Anyway, welcome and stay tuned to this forum. Let us know how your search goes and don't be afraid to ask questions.