To make any sort of saving importing from the UK you'd need to go back to a 99, 00 or 01 car.
Around now would be an ok time to be looking cause theyr'll be alot of movement in the secondhand marked what with all the trade ins for 06 models.
You need to catch a lad who is trying to meet or exceed his weekly / monthly target to squeeze a really good deal.
On the subject of buying from a private seller - I'm not sure how comfortable I'd be handing over 40k+ to some lad for a second hand car and have no comeback.
What engine / spec are you looking for in your E Class?