Welcome to the forum.
I have had my CLK for four weeks now. Interestingly, the other car I considered was a Jaguar X-type. I think you will find the CLK a much nicer car, and the 270 cdi engine will outperform either of the diesel X-types. Also, auto-box will be common, whereas it was only available on the later 2.2 Jags. Only thing the X Type may have is a higher spec as standard, whereas a lot of the things you might expect on a Merc actually come as optional extras.
The build quality on the CLK is quite a way off that of a 124 series CE, but at least equal to a Jag X type. This is my sixth Merc (3 e-classes, 1 S-class and one C-class). I find the CLK build quality to be considerably better than the c-class (which was a right rattle-box), but not up to the standard of my previous e-class. Not that it is particularly bad, but there are a few more creaks from the cabin than I am used to when I go over a bump in the road. I absolutely love the engine. It is the third 6 cylinder diesel I have owned, but the first V6, and it is so much more smooth. Also seems more economical, although part of that might be due to it being in a smaller car than my e-classes. Personally, I think it is worth paying a bit extra to get a 320cdi (stating the obvious, because that is what I did), but the 270cdi engine has a lot of fans on here and probably won't disappoint.
I read a lot about the CLK before deciding to buy one, and have read quite a bit since the purchase. The problem with valeo radiator and rust on pre-2004 cars has been mentioned already, and it is a good idea to avoid any of the pre-galvanised Mercs. Apart from the odd loose connection with the electrics, on the seats for example, there really do not appear to be any common faults reported. Not that I am saying these cars are indestructible, but they do seem to be one of the more reliable Mercs of recent times. Some reviews do state that the pilarless windows do not always reseat correctly, leading to wind noise, so worth listening out for that when you go for a test drive.
I hope you find a nice one. Quite a few examples out there, so take your time, and shop around.