Originally Posted by frost

Welcome to the club:
Both Fobs
Fob Code
Owner's manual with DVD
Look for signs of leaks
Look for any defects to paint
Front plate installed (if you need it)
Tire pressure is ok (often too full in new vehicles)
Mats (if you paid for em)
Check the function of everything you can, lights, blinkers, radio, seats, mirrors, (everything else power)
Verify VIN on car matches paperwork

EDIT:
Check out this website, pretty lengthy checklist:
http://www.e46fanatics.com/faq/checklist.html

Originally Posted by AK370Z

Good list. Also make sure:

* They put the RIGHT wheel locks on the rims. They will most likely put on 350Z rim locks which are wrong part (though they have received a TSB from Nissan long time ago )

* Try to install the front license plate yourself. Dealers will drill a hole through your front bumper.

good luck