You have to buy it through a dealer in the US. The amount of money you will save will pay for a nice vacation in Europe plus you will have a nice car to drve around.
You arrange everything through an authorized dealer here including financing if needed. When the car is scheduled to be made they will notify you. They even offer to work with you on the dates so you could do a factory tour and actually see your car being made. You could take it with you and drive around in Europe and when ready to go home drop it off at certain locations which will take care of shipping it to your dealer(included in the price). The dealer here will receive it prep it for you(wash, do the check list again, etc...) and once ready you will pick it up from the dealer here.

Don't expect the price to be ultra cheap, maybe in the neighborhood of $5000 cheaper than here. Like I said, it pays for a nice vacation and you get to test your Benz on the wide open autobahns.

AAFrequentFlyer is right on!!

I did the BMW European Delivery Program and saved about $4,500. More than paid for my vacation, and it was a wonderful experience.

If you chose Mercedes, make sure you do your homework and shop around. To get my deal, I had to go thru an out of state dealer. All it cost me was a short train ride to pick up my car when it arrived in the states.

Budman,

What did you get?

I took delivery of my little toy - Porsche Boxster S in Europe. I wish there was a cheap way to ship it back to Europe to do some autobahn driving while on vacation.

For the OP:
Here is how Porsche does it:

"After you have taken delivery of your new Porsche, you will have the opportunity to drive around Europe at your own pace. At the conclusion of your European vacation, your Porsche can then be dropped off at either of the Porsche factories located in Stuttgart or Leipzig, 24 hours a day, 7 days a week, every day of the year for its return to North America.

It is recommended that you return the vehicle to the factory where you took delivery of your new Porsche so that any warranty work can be performed by Porsche factory technicians. However, as an additional convenience, alternate drop-off locations are also available:

Austria: Vienna, Graz, Innsbruck, Salzburg
Belgium: Brussels
France: Paris, Nice
Italy: Rome, Milan
Netherlands: Amsterdam
Spain: Madrid, Barcelona, Alicante, Seville, Valencia
Switzerland: Zurich, Geneva
UK: London

From any of the European locations, your Porsche will then be sent to the North American dealer where you purchased your car so that it can be thoroughly examined and made ready for delivery to you."

Porsche also have special times, where you could do the Grand Tour. Here are some of the details:

"Twice annually, Porsche Cars North America offers a Grand Tour for customers taking European Delivery. For the same price as the regular European Delivery program, the Grand Tour invites new owners to spend their delivery day with a group hosted by Porsche.

In Stuttgart, where we build and deliver our sports car line, the Grand Tour begins with a cocktail reception and welcome dinner. The following day, the group enjoys a visit to the Porsche museum, a VIP Factory Tour, and lunch at the factory Kasino. As an added bonus, the group will get the rare opportunity to visit the famous Weissach test track where Porsche's professional drivers provide rides in various Porsche models. After an exciting test ride, the group travels back to Stuttgart-Zuffenhausen to take delivery of their new Porsches. The Grand Tour ends with a farewell dinner that evening.

The dates for the 2004 Stuttgart Grand Tours are:


Spring Grand Tour in May 2004, and the
Fall Grand Tour in October 2004"

We got the 525i. Love it. Wonderful. Stick shift. I am thankful my wife lets me drive it occasionally on weekends.

We researched the BMW plans for awhile a couple of years ago. Although our local dealer explained you could save about $5000 from the regular price, he also explained that they normally reduce car prices by that much anyway. So the total value we figured was that maybe we'd save $500 to $600 from the cost of a rental car in Europe. But then we'd have our own brand new car to worry about getting scratches or scrapes in the small towns we were planning on visiting. There is something exciting about picking up your European car in Europe and having it delivered later to you in the US, but after a whole lot of study, we decided it wasn't worth it. We instead lease a new car there, and then come home and buy a new car at discount. I'm sure there are others who feel differently and are proudly driving their cars they also had in Europe. That's fine.

We are buying a BMW and picking it up in Germany next May. BMW is pretty straight forward about the European Delivery price and then you negotiate above and beyond that. There are many drop off sites across Europe. They also insure your first 30 days in Europe and the delivery is included in the cost.

Budman,

Don't tell me you're driving the family station wagon?

My father-in-law picked up a new Volvo V70 XC in Sweden and, in the end, saved more than $5000. If you are planning a trip to Europe anyway, you will save quite a bit. The deal may include round trip airfare to Europe (Volvo's does, but it's an economy ticket) and then having the car to drive around Europe saves you quite a bit on rental fees or train fares (esp. in Germany, which has some of the highest train fares in Europe).
In my FiL's case, freak circumstances made the deal sweeter. The ship carrying his Volvo back to the U.S. sank, taking down 3000 U.S.-bound Volvos, Saabs and BMWs. He then had to wait almost 4 months for his replacement car to arrive. Volvo paid him a daily fee during the wait (they also offered a free rental car during that time, but he already had a second car at home so the cash offer made more sense) and offered him his choice of extra options for the inconvenience.
In his case, Saddam Hussein actually footed the bill. My FiL was a hostage during the first Gulf War and the money for the car was part of a settlement paid before the current war started. Of course, it's a drop in the bucket compared to the value of the things the Iraqis stole from the family during the first war (lawsuit pending), but it's still some satisfaction.
Finally, while Americans living in the U.S. have to go through dealer at home, nonEU expats in Europe can take advantage of similar arrangements known as "diplomatic purchase." You don't have to be a diplomat, but you do have to be planning to leave the EU within 6 months of car purchase.

Straight-up! You save $ and you get a great vacation. I picked up my BMW sportwagon (everyone has a sedan) from Munich and drove it to Bonn and there's nothing like going 100 mph and not getting busted. If your BMW dealer also sells Porsches, ask your salesperson to hook you up w/a pass to tour the Porsche plant. Mine did. I think I saved about $5k.

Have you looked at Mercedes Benz USA website? The process is thoroughly explained.
I went through a similar process to pick-up a BMW 530 (stick shift and my wife get's to drive once-in-a-while) at Munich for the discounted price. It can't be beat if you're shopping for the car that provides this program at a substantial discount to somebody who loves to travel.