I have the Bentley manual which is called the E-Class Owner's Bible. It provides a good overview of the E-Class and some good tips on mauntenance and purchase. However it is not a complete service manual.
I purchased a CD on Ebay which turned out to be a copy of the Mitchell Service CD. It was hard to instell and not too easy to navigate in. For the low price, it was OK.
I haven't purchased the Mercedes issued two CD set but I'm considering it. Check out the following website:
http://mb.braingears.com/
I believe that this is the same as the Mercedes issued CD set. It has complete information but navigation is cumbersome. If you wnat to do a certain service, you often find that necessary prelimnary tasks are just referred to by number, then you have to go find that number. So far I prefer paper manuals if I can get them. The CD's are much more affordable though.
One way around this problem is to print out all the pages you need for a given service and keep these in a notebook when you finish. That way you won't print what isn't needed.
There's a book called "Mercedes W124, 1985-1995, Owners Workshop Manual" which has quite a bit of good information and nice, clear illustrations. I don't recall its price.