Check that bumpers and body panels meet cleanly
Check wheels to make sure there are no imperfections, dings, stickers on the
alloy wheels
Look under indirect light for paint swirling, scratching, or bubbling
Open moonroof and make sure the protective tape has been removed from the pop-up wind deflector
Ask to make sure the tire pressure is set correctly--better yet, ask for a copy of the results of the dealer's customer delivery checklist
Ask for a list of the TSB's they have applied to the car (they're required to perform all applicable bulletins before delivery)
Check the trunk to make sure the trunk roof liner is present (you shouldn't be able to see the speakers on the roof of the trunk).
Check the power seats, telescoping steering column (especially full extension and retraction, since that's a TSB-fixed issue), and seat heating/cooling (if applicable to your model)
Make sure the XM trial subscription is activated: if you get only two satellite channels, it hasn't been
Make sure you get two keyfobs plus a numbered black tie (that should have been bundling the fobs--the code is important if you ever have to replace lost fobs)
Ensure you have a cargo net in the trunk--it may be under the floor with the spare
Ensure you have
wheel lock keys if you opted for
wheel locks
Check HVAC operation quickly to make sure your A/C and heater kick in
Check seating surfaces for tears or exposed seams or threads
EDIT: And a full set of owner's manuals
Just a few things off the top of my head.
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