I did most everything Neil said to my car - 500E Euros, relays, 143A alternator, 130/100 Rally H4's, and 100 H3's in the pencils. Set up so the pencils come on with the high beams. It's a bad idea to have the low beam filament light up while the high beam is on, talk to Dan Stern for the reasons why not to (mostly the possibility of exploding the bulb, and putting light down on the "wrong" areas of the pavement.) The results are astounding - probably equal to a good HID setup. Only drawback is short bulb life of the 130/100 Philips Rally bulbs at $20/each. After those, even 100/80's look dim.
Scott, every 124 except the 500E had fog lights next to the headlights. The 500E put the fog lights in the bumper (air dam), and used the freed-up space to put a pencil-beam, long-range driving light that comes on with the high beams (4 bulbs lit on high, instead of only 2 like on all other W124's). Your 500E Euro's don't have the special high-temp internal H4 connector, those are about $10 each from Dan Stern, and are only required if you want to run heavy gauge wire direct to the bulb (I ran to the headlamp 6-pin connector to simplify future replacement).
About the alternator, the 143A and 150A units were used on 1996-1999 S and SL class with the M119 engine (420/500). 1995 and older have smaller alternators, and I'm not sure about 2000+. Good used ones can be found for $100-$150 each. Rebuilt will cost you $3-400, and new will be ~$1000 (not worth it - used ones are FINE). For more details, iincluding MB part numbers, read this (prices are old) :
http://www.meimann.com/docs/mercedes/Alternators.pdf
Photos of my relay install are here:
http://www.meimann.com/images/mercedes/W124_headlights/
Photos of the alternator install and wiring are here:
http://www.meimann.com/images/mercedes/W124_stereo/
HTH,