Best bang-for-buck would be shocks and wheels/tires. Springs would drop the car down, but may not alter the ride much unless you go aggressive with the spring rates.
__________________ 1966 250SE Cabriolet - 86,000 miles
1983 500SL AMG - 45,000 miles 1982 300D - 66,000 miles
So I am thinking some AMG 18" wheels, shocks, springs, and tires. What kind of shocks and springs would you recommend? I am reading that the Michelin Pilots are very popular.
I have nothing to recommend because I've never done this swap before. Search this site and possibly MBWorld.org Forums - Powered by vBulletin forums and I'll bet you'll find an answer.
Over on MercedesShop.com one of the moderators, Zeus, has a 1997 E430 that he bought used. A previous owner had the whole suspension replaced with factory AMG components and he says the car's handling is a night and day difference over his previous car, which I think was a 1998 E430 with stock suspension. The best thing about this solution is that the components were engineered to work together and then tuned properly, so you aren't slapping together parts from multiple manufacturers and hoping to get a well-sorted ride.
How much is DIY? All depends on your skill level. At the end of the day, suspension stuff is just bolted on to the car, so it is all within the ability of a decent DIY'er. The only thing you wont be able to do yourself is the alignment that will be necessary afterwards. When removing springs always use a proper spring compressor tool.