i wouldnt worry too much. but here a few checks to run just before you pull out of the dealer:
1) check basics, make sure all electronics work. (pain in the ass to go back just for a window)
2) turn on the car, open up the hood and inspect how the engine is acting. the engine should be pretty stable, if the engine seems to move just a bit too much, then you should worry about your motor mounts. (how do you what's too much? well i always liked putting a coin on top of the engine, if it starts to jump around.. not good).
3) check underneath the vehicle (while it is on), and make sure you have no leaks.
4) make sure the air is working.
5) when you first pull out, make sure you got good throttle response (incase of cable being loose).
6) while you're leaving, pay attention to the transmission, and how it's acting.
last but certainly not least: ENJOY!

if you have any questions, feel free to contact me.