Welcome
Congrats on your new ride! I am not familiar with this particular model, so my advise is based upon other Mercedes diesels that hopefully should also apply to your car. Since your car may have been setting up for some time I would immediately change the oil with a good quality diesel rated oil and a new oil filter. Going forward I'd stick with 3,000 mile oil/filter changes...It's a worthwhile investment, and will help ensure the lifespan for your engine.
I would also change the fuel filters often...they're cheap, and it can't hurt...sometimes you'd be surprised at how dirty some of the diesel fuel you'll get is! I change the little clear pre-filter even more often, if it looks black or gunked up in any way.
Also, don't be slack about having the valve adjustments done every 15,000 miles. It will cause hard starting and excess wear if you let it get too far out. Have the timing chain stretch checked at every 2nd or 3rd valve adjustment...MB diesels have very close tolerances, and if the timing chain were to break, valves would hit pistons, and that's not pretty.
You should also check for the following:
1) Rust under doors and in the floor boards (pull up carpet and look underneath car for rusted out panels)
2) Unusual driveline vibrations under acceleration and at speed (should be rock steady and no buzzing, vibrations or unusual noises)
3) Smooth shifting, no flaring or blown shifts
4) No delay shifting into reverse
5) Check for excessive blow-by
Again, since the car may have been sitting up you may want to use LubroMoly Diesel Purge to clean out the injectors and fuel pump. This may help if you are getting some smoke. Obviously, there are many other things that you should take into consideration. What I've listed here is the significant things I could quickly think of. Good luck and keep us posted.