The correct option is E They/me/each other
The first blank requires as its subject a third person plural subject pronoun, "they". The second blank requires an object pronoun in the first person singular, to refer to the speaker, "me". We use each other to show that each person in a group of two or more people does something to the others, here looks at the others. Hence, Option E is correct. The rest of the options do not adhere to this rule, hence incorrect.