Extended warranties have been discussed on the forum several times, and opinions on whether to take one or not are mixed. Some wouldn't be without a warranty, and others think they're a total waste of money.
Personally, I do have an extended warranty, and it's with Warranty Direct. As with most extended warranties, it only covers the things they specify, so I don't believe it covers the roof mechanism. I wasnt going to renew it after my first year of ownership, because of the high renewal price (I think it was something like £900!). However, when I called them to say I didn't want to renew, they told me about a slightly different warranty that they could offer instead... They have a warranty that covers exactly the same items, but only if it follows me calling out a breakdown service (I can't remember the exact cost, but it was something like £250). After consideration, I went for the cheaper warranty.
I haven't had to claim on the warranty with my SLK (touch wood), but I've used Warranty Direct for previous cars that I have claimed on, and found them very easy to do business with.
Hope that helps... just never accept their first quote... be prepared to tell them you want to think about it, and wait for them to call or email you back with a better price/offer (assuming you decide a warranty is for you).