Take delivery in daylight, preferably when it is not raining
Take a small torch (or flashlight, if you don't have a burning 
 stick handy) with you
Look at the paint work straight on and at an angle and look for
 blemishes or inconsistent colour 
With your bare hands touch and run your hands over all paintwork
Spend at least an hour taking the delivery
Check all switches and correct functioning of equipment
Open all doors, windows and the boot
Check all fluid levels
Check all tyres and alloys for chips or damage or nails
Make sure tread is correct way on all wheels
Find out if the dealer has balanced the wheels. Some people are
 saying that the factory has failed balancing tyres correctly
Check all lights and the alarm
Take some CDs with you if you have opted for the CD changer
Don't hesitate to complain about anything
Take the car for a test drive and check for correct gear change
 and any steering pull
Ask for freebies like an A4/A6 cargo net
You should get the aluminium/fabric bound service manual wallet
Buy a touch up paint kit now rather than later and leave it in
 your glove box....you never know
Install a clear bra as fast as you can (say some - I'm doing this)
Make sure you get the leather pouch for the dirty tire after you change a
 flat. It is supposed to come with the car
Read the manual from cover to cover and watch the video 
Ask the salesman to show you the "aliens" 
Drive and enjoy!