The biggest differences lay in the extras. On the SD it'll have power/automated everything from the windows to the climate control (when that fails then it's costly) on the 240D the only things that are powered are the steering and brakes. Those systems on the SD require attention which in turn require you to fiddle with stuff that you might not want to. If you get a 240D with a manual then the only things you'd have to worry about is changing the oil and topping of the fluids every once and a while.
Mercedes Benz are very reliable cars because the owners (especially the ones with older cars) stay on top of everything. If you have no desire to do any of the work your self then your better off with a Honda. If your willing to do the work that needs doing but aren't made of money get the 240D. If your will to pay for all the work that needs done then get the 300SD.
Either MB route you go down it will cost money and take some of your free time away to do maintence. Which MB depends on what you can afford. If you don't even want your hands dirty then the MB isn't for you.
For a first car you want something that will last you a year or 2 that is safe and won't get you in trouble. Sure you want a flashy car to drive to impress your friends. Heck we all remember those people that got brand new Camero's or Mustangs when they turned 16, we also all remember how many of those Camero's or Mustangs survived more then 2 years with a wreck. Once you've gained experience behind the wheel of a car then you can move up to the 300SD, but to begin with you'll be better off with the 240D.
I learned to drive on a 1984 Volkwagen Diesel Rabbit. It had a 5 speed transmission, Manual steering, and somehow power brakes. It had A/C but that never worked, but it did have windows that rolled down (manual windows). The Engine had a total of 52 hp that the car needed all of everytime I accelerated when the light turned green. Sadly it started having oil pressure problems that we didn't want to spend the time fixing. But getting rid of the rabbit wasn't a sad thing, it had performed above and beyond the call of duty. My next car that I really could call my "first car" was the 1989 Diesel Jetta you see in my sig. It had power steering this time around, but everything else about it was the same as the Rabbit (down to the drive train). We needed to replace the tranny after my brother drove it a while (6 months) without using hte clutch to shift gears most of the time. On that car I learned many of the DIY mechanic skills I posses today (on that car there was a lot of imaginitive things I had to do to keep it working). It served me faithfully (even more so then the Rabbit) for a long time. I became very skilled at driving a manual tranny equiped car. The reason I was forced to get rid of it was a seal in the IP broke causing a crap load of fuel to leak out the bottom. It would have cost $1000+ to fix the car.
After those 2 cars I got my 300D which has cost me a lot of money, but has also performed flawlessly. I've done all the work on it my self and I haven't had a single problem doing that.
Here's some of my more memorible threads:
http://www.peachparts.com/shopforum/showthread.php?threadid=29542
http://www.peachparts.com/shopforum/showthread.php?threadid=29338
http://www.peachparts.com/shopforum/showthread.php?threadid=30123
http://www.peachparts.com/shopforum/showthread.php?threadid=30477
Look through those and tell me if your willing to do all that to the 300SD to keep it running. Keep on mind the 240D would require only about 10% of that stuff.
I know I maybe raining on your parade but I'm just trying to help you out. If you feel really good about that 300SD take it to MB shop and have them look over it. Ask them what types of things break on that type of car and how much it costs to fix it.