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I collected my B from Rastatt last December. You are right, the factory collection dept. in the UK are great. We stayed at the Hilton Garden Inn Stuttgart, which is a nice hotel just a short walk from the Mercedes Benz Museum. It is well worth a visit with some amazing exhibits and worth making time to see! Entry is free for factory collectors, but we had some confusion over tickets when we went - the documents from MBUK said that they would allow entry on presentation of the documents, the museum said that the hotel should have given us the tickets!??! Might be worth calling the UK personal collection dept. before you go to query it! In the end the museum admitted us and wrote off the cost themselves.
Taxi transport to Rastatt was arranged for us and after signing off the insurance/collection documents, we were given tickets for a tour of the assembly plant. We saw the A-class being built, an amazing site - but photography of the production facilities strictly prohibited!
There is a free cafe at the factory where you can get food and drink whilst waiting to collect your car, they have a couple of internet terminals so you can check your email, routes, etc. and a shop where you can buy accessories. I found it quite expensive at the time we were there (Euro 1.13 = 1 GBP). I was glad I packed a couple of car floor mats in my suitcase, especially when I stepped in gum at a French motorway service station... Wouldn't have liked to be cleaning that off my brand new carpets...
The cars are brought in from a multi-storey car park storage facility and into a presentation hall where you are 'introduced' to your new car. Once you get back to the UK, make sure to ask the dealer to keep the transit plates for you - they make a great souvenir of the trip.
Any more questions, ask away!