Sounds like your the owner of a Euro model. Also known as a grey market car.
MBNA (MBNorthAmerica) didn't bring in the 124 sedans until 1987, but I have seen a 124 wagon that was an official US 86 model. You probably have cloth seat covers thats a dead giveaway.
Some parts for greymarket cars can be hard to find, you better make friends with the parts counter at a local dealership as they may have to contact the factory for help locating some parts while other parts will of course be the same as for US models. Phil can help to some degree, click on the BuyParts button to email him.
The W stands for Wagen, or carriage, hence W124
Your car doesn't happen to have a stick shift would it? That would make it a very nice one to have.
Post a few pics of the dash, interior and engine for some others to comment.

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'95 E320 Wagon my favorite road car. '99 E300D wolf in sheeps body, '87 300D Sportline suspension, '79 300TD w/ 617.952 engine at 367,750 and counting!