I no idea what XM radio is but I've changed the whole stereo system in my 2002 SLK 230: headunit, speakers plus amp. Got an Apline 986i headunit system in which plays DVDs. I stuck with Apline for firstly making awesome headunits and secondly Apline work flawlessly with mercs.
Crutchfield.com has a way to enter your vehicle and they tell you what you need. They are great for tech info and prices for units and adapters is fair. The HD radio is getting hot now as it is free(No subsription fee) and more stations are getting on board. Give Crutchfield a look and call them if you need more. :tu: