In terms of problems, the following spring to mind.
I believe the 270 engine in particular is prone to injector problems, so one thing to look out for.
Valeo radiators (cars built pre 09/03 IIRC) can leak and cause glycol contamination. At worst can require a new transmission, albeit uncommon. Can be replaced with a later Behr radiator to ease concerns. There's lots of info on this. Other models are affected too - you would need to check if this applies to the model you're looking at.
Suspension bushes can be noisey, but there's a replacement part 'with boots' to prevent re-curring problems.
Near side tilting mirror can fail, albeit not exactly common!
Rust is not common on the W203/S203 but it has been known.
Servicing and routine maintenance is not cheap so try to find a car with the expensive stuff already done. Off the top of my head, you're looking roughly at:
A Service about £230-250 (or £60 cheaper if supply own oil).
B Service about £400-450 (or £60 cheaper if supply own oil).
Transmission oil about £100-150 (at about 60,000 miles).
Brake fluid change about £60 (at 2 years)
Brakes not that expensive if you do it yourself, but at a dealer the circa £100 labour rates will soon bump up the bill.
I hope this is of some use. Good luck.