On both my E420's, I have experienced the ABS light illuminated after starting, but before any movement of the car, and it turned out to be a bad connection on the ABS pressuring pump (where 18 joins M15 in the picture below). This is the small electric pump under the master brake cylinder. Re-securing this connection solved the problem.

http://www.w124-zone.com/downloads/MB%20CD/W124/w124CD2/Program/Chassis/42-0818.pdf

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1993 400E, 256,000 miles (totaled)
1994 E420, 200,000+ miles
1995 E420, 201,000 miles