There are many check lists available, but basically you want to test everything to make sure that it works properly. It might be a good idea to videotape this part, so that you can go back to it later on when you don't quite remember how something works. You will also want to inspect every square inch of the coach inside and out for damage or missing items. Many dealers have hookups available so you can live in your new coach while they are taking care of the inevitable issues, but if you are close to home it might be easier to stay at home each night. Be sure that you know how to hitch and unhitch properly, and whether you should level the coach before or after extending the slides.

We found the build sheet, the "standard features" portion of the product brochure and a couple of different pre-delivery/rv inspection checklists downloaded from the web proved to be very beneficial as we went through everything. We pretty much combined all three to do our checklist. Also, as kb0zke mentioned, video taping is a great idea.

The initial walk throughs are pretty overwhelming unless you have been using that type for awhile. Take your time, take notes, video some of the procedures so you can go back later. Remember though that the walk throughs are really just to show you how some of the systems work. It is not a substitute for creating a punch list of problems, especially minor adjustments and the like. You should stay at the dealer or near by for at least two or three additional days so you can test everything out and have the dealer address them.
Four hours out from the dealer is not the place to find out that a jack doesn't go down or a slide is a little crooked or they have the thermostats cross wired.

make sure any repairs or replacement promises are in writing........including warranties!