In a nut shell I would say:
Costs - servicing is simple if you are mechanically minded, although anything that is less than 10 years old will have sealed brakes and hubs which are essentially maintenance free and can only be repaired by new parts which are dealer fit only. An annual damp check is always useful and if you find you do have damp the sooner it is repaired the better. Tyre health is vital. If you use your van every few weeks OK, but if it sits on its tyres for 50 weeks a year then they are likely to go bang! My advice is if this will be you jack the van up and put on axle stands or similar. If you buy a van the tyre production date will be stamped on it (eg 0115 means week 1 of 2015), budget on a set of new tyres and change every 6 years (regardless of wear) as they will be subject to UV de lamination/cracking. Towbar will cost range alot. Simple fixed to detachable (internet research time) and then whether you can fit it yourself (saves loads of money) or you need a fitter (independents always cheaper and likely more knowledgeable than main dealers as they do it all the time). In this day and age don't both with anything other than dedicated wiring kits - they are often plug and play (although Mercs generally require STAR coding to enable) and the extra cost is recouped by the fact they can often be fitted in minutes.
Double/Single axle - we have just sold our double axle (Hobby Prestige 650 kfu 1900kg) and replaced it with a single axle (Hobby Premium 560 UL 1800kg). Our 650 was towed by an ML320cdi (164) back in the day and it din't even register as being on the back! Our current Landrover Discovery Sport is an absolute dream towcar (I hope but expect) my new E Estate (213) to be as good) and was never troubled by the 650 BUT...having just towed 1200 miles to Cornwall and back the new (single axle) 560 seemed more stable. As a C+E qualified person I have no issues reversing, but remember than a double axle (unless fitted with a mover) does not give you the option to turn by hand but when manoeuvring with the car responds a bit more slowly so can make manoeuvring a bit easier.
Licence Requirements - Minefield based on age/when you got your driving licence. If you intend to tow with your E Class and any decent sized 4/6 berth van then you will more than likely need B+E entitlement (internet is your friend here) and if you have never towed worth considering a manoeuvring course. It is not a black art (contrary to what people say) but a bit like parallel parking; some can and some can't (who then tell the rest of the world how difficult it is)
Storage - you may have restrictions on whether you can store the caravan at your house imposed by local council bylaws; check your house deeds!
Type - Work out what you want it for - odd weekend, three weeks at a time touring, every other weekend at an off grid site etc. Are you touring in UK or mainland Europe? Also think about is it just you or will you be taking children or grand children and what do they need/not need, From this you can then work our what are your red lines. For us this means not making up a bed every night (so we have fixed beds), being warm (so under floor heating) and still enjoying our tv (so built in satellite system). BUT each to their own.
Weights - There is much written about weights. In the UK there is the 85% rule, most of Europe goes with 100% (i.e your fully laden van should not weigh more than your car empty or max towing weight for your car whichever is lower). There are untold repositories of info online. UK built vans are about 25% lighter than German brand vans as generally they are narrower. Many guides out there about loading, but nose weight is also important. Somewhere between 5 to 7% of the laden weight of the van - this will then influence your towcar choice as you can't exceed the specified limit. I think the E Class is 85kg, my current Disco Sport is 150kg (but my caravan is 100kg). Not difficult but needs thinking about (some of the new Vauxhall Insignia's are only 45kg!!)
Do you have any friends/colleagues who have a caravan you can borrow or book a site near to you where you can rent a caravan for a week and see if its for you. Many people I know buy a cheap starter van, see if its for them and then if it is move on and upgrade based on what they have learnt. When I started caravanning it was based on many happy years as a child in a caravan. My wife had never done it before so needed to get a feel for what was right for her. Our view is that we want a bit of luxury so we now have a luxurious van for our needs (sat tv system, underfloor heating, aircon etc) but I get many are happier with a more simple existence so please don't judge. If and when you do take the plunge then I am sure that most caravanner's on your first outing will be more than willing to offer advice and/or assistance. At least there is likely a YouTube video for everything you were afraid/embarrassed to ask (from how do I attach it to the towbar, to how to empty the loo or make a bunk bed

).
It has been mentioned already but a caravan does buy a lot of nights in a hotel, it also means that if you sell it in a couple of years time you get a lot of money back (we have just bought a new caravan and have lost under €7000 in 12 years but probably had in total about one years worth of camping and visited about 15 countries around Europe).