If your journeys are short - by that i mean 3-4 miles from cold then you stop then your doing well.
Mine's a diesel and struggles at 23mpg until warm and on the motorway then will get up to 45mpg.
My mate has an 02 320clk and on regular runs up to Blackpool averages 34-35 driving a legal + speeds most of the way.
Its only 1-2mpg worse than a Rover 75 2.5V6 that he had previously so they do quite good mpg considering the extra weight and power of the engine.
I do very few short journeys in my CLK but I would say about 20mpg would be about right. I average 30-35mpg on long journeys, sticking to the speed limit. Heavy petrol automatics do suffer in short journeys sadly.