After just buying my 2004 Mercedes C240 I was told that the ONLY grade gas I put in it is Premium 91 Octane fuel. Is this a must? What are the effects of doing this.. or not doing this? Thanks for the advice.

 

As 'ForcedInduction" stated the car will run on 87 and 89 octanes in a pinch but the car is made to perform using 91 octane.
You may save a few pennies but your performance will suffer and your gas mileage will decline (which negates the savings from cheap gas). Also in Canada, most 87 and 89 gas contains ethanol, whereas 91 gas doesn't. Most high performance engines don't like ethanol. As well, 91 gas contains more detergents for the lubrication of the engine.