Yes, having it built-in to the SmartKey is great.  The sensors on the W211
door handles are better than some other models, too.  There is actually a
small mechanical switch on the inside of the handle that is activated by
your grip.  You walk up to the car, put your hand around the handle and
pull.  As you do so, your fingers activate the switch and the doors unlock.
Unless you are really trying to "beat" the locks, you'll never notice any
delay in opening the door.  On other models, say the SL/R230, they sense
your touch by static discharge to activate the switch and it does not
respond as fast - sometimes you pull on the handle before the door is
unlocked.

I really cannot see any major advantage to Keyless Go other than as a
convenience.  I'm not sure I'd get it in an E350, but I would not hesitate
to spend the extra $1K in an SL or E500, or S-Class.