A glow plug relay on a W124 300D I had packed up and cost, from memory, about £100 or so to purchase.
On mine the glow plugs were fine, but it took about 30 seconds for the glow plug light to go out and even then it was a pretty lumpy start.
Talking to my Indi at the time, he did mention that its not uncommon to have them fail, mainly due to the age of some of the cars nowadays, ie 10 years +