If you mean that the 'Check oil light' comes on after turning on the key and waiting a few seconds that is normal. If you mean that you get a 'Bad oil level sensor' warning after starting that can mean a bad sensor OR with these cars it can be a battery is failing. The ECU is looking for a battery voltage of ~12v. If the battery isn't holding a good charge overnight you sometimes get false error messages from the electronics such as BAS or loss on 'sync' for the express window feature and sunroof.
There is a fuse in the panel at the left end of the dash for exterior lights. The door must be open to access the panel. Check the fuses with a DMM not just eyeball. These cars do have a problem with fog lights. There is a wiring harness kit for repairs. Also, lights in general can have continuity issues. You will notice many bulbs have no wires connecting them. Power is supplied by socket making contact with it's housing. This can give false warnings that bulbs are burned out when they are not.

Also, you might want to make sure that the anti-noise panels on the underside of the car are in place. The large front one behind the bumper protects the fog lights and other electronic components from getting wet.
This is normal if the ambient light level is low enough such as pulling into the garage on a cloudy day. BTW, all lights are supposed to have a fail safe feature to turn them out after a preset time.
The brake pads and discs have minimum thickness values for determining their service cycle. Whenever you do a Schedule B service they should be measured and recorded. Most owners get at least 2 or 3 pad replacements per disc replacement. Once you know their condition you can rely on the brake pad warning sensors to monitor the pads.
Check out a site like TireRack to see what's available for your car. Michelin is a safe bet if money is no object. But other brands will give a good ride and wear longer. If the tires are wearing unevenly you might want to get a 4 wheel alignment at the dealer. Hardly anyone else has the right equipment for it.

Some other suggestions in no particular order.
1. Join mbusa.com. Free and has good tech info section.
2. Join epc-net. Free for NA owners and you can check on parts issues.
3. If you Owners Manual is missing buy one. Call 1-800-MERCedes or go to a dealer. If you have one, read it thoroughly. There are lots of electronic features that take a little time to figure out. For example, you can set the passenger rearview mirror to adjust to any alternate position while the transmission is in reverse. Tilt it down to see the curb while parallel parking.

Once you get all the issues sorted out, it's a really nice car to drive. 28 - 30 MPG on the highway @75 mph with the A/C running is not uncommon.

Good luck.