Let's see... what everyone has already mentioned plus...
1. If you have a Radio 10 (CD changer), give it a check. One of my cars had a problem at delivery that the dealer didn't catch with the changer.
2. Make sure they show you what my dealer called the 'bad day' area (air pump/goo) and how to get into it. It's good to see it demonstrated.
3. Make sure they show you how to unlock the car if the keyless entry isn't working or the battery is dead (pull out plug under handle on driver's door).
4. If you want to keep the window sticker in good shape (for your records and a memento), tell them before it's half demolished by someone trying to remove it quickly.
5. You might want to practice removing and realigning/fastening the hood and engine cover while someone can watch and show you any tricks to make it easier.
That's about all I can think of from my experience... good luck and enjoy!