For the front, I used this size of speaker, I just searched for W126 speakers on ebay and found some Clarion ones similar to these. The sizing of these is the main thing as they have to fit in the gaps in the dash: Mercedes S SE SEL W126 Dash Speakers Mac Audio 4x6" | eBay
For the rear, I bought some from German eBay like this, but they are easy to find as they are a standard size for many cars. (6.5" I think, if I remember correctly.) The rear speaker covers can be slightly annoying to re-attach, they clip on.
For all the speakers there are only four screws each to secure them, and plug in the leads. Thats it, nice satisfying little job.
Door speakers I haven't done though.