Choosing your first car... Very exciting! I remember my days, when i was ready for my first car... Well i "inherited" the family car of that time..
Anyway, on topic:
1) 200E/220E: Far the most practical of the cars you mention here James. It has a classic design, still acceptable and classy in its own way. It has good fuel economy and a nice enough engine. I think it's enough powered for a first car, and also service and insurance must be pretty cheap, so even better. Though, i guess that there must be a LOT of them on the streets, which means that this car will be not something special, more a common sight. It's not a bad choise though, if the looks isn't the first criteria.
2)230CE: Now that would be my choise. It is almost as practical as in the sedan form and is few words it sums up everything possitive i mentioned above, PLUS it has a kinda unique style as it won't be such a common sight. It has a the style and the sportiness of a coupe as well as the classy look, which is typical Mercedes? Who would want anything more?
3) 300SL: Now this is not a good start. I can't imagine a 18 year old boy in such a car! It is "too much" and it can cost many negative comments about its driver. It may not happen there, but here it would definitely bring comments and jealousness, things that you don't want, unless you don't car which is a good thing :d Anyway, too much power and even more running/owning costs, plus the fact that you need something less "exotic" more like a base/cheap car to learn the basics. Then, in like 8-12 months time, you would rock in the SL, but surely not now!
Hope i helped. Good luck and listen to YOUR MIND and heart above everything!