Think of 'D' as economy and '4' as performance. When driving in 4, the car will shift more aggressively, hold gears longer, and kickdown more willingly. It also consumes more fuel. Often times, when driving in 4, the car will be in a lower gear than it would in D, resulting in higher engine speeds. So on your daily commute, especially stop-and-go, keep it in D. Then, when you want to have a little fun, drop it into 4.

All this is what I've gathered from the transmission on my 98 CLK320, which I assume is similar to yours. Hope this helps.

-Daesun