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