Congrats on the new bike! What are you getting?
I'm picking up my new bike on Monday.
I'm assuming you rode it for a test ride, and they adjusted it a bit to get the general position of things right. I would ride it again, and get them to tune it a bit more if anything doesn't feel perfect: seat height, bar width, stem height, brake lever angle, etc. Some of that you can obviously fine tune yourself at home, but it should be as close as they can get it to the final state before leaving the store, in my view.
Definitely go over adjusting everything with them, if you don't know how to do it yourself already. Fork settings, adjusting the brakes and gears, adjusting the pedal tension for clipless pedals, etc. Anything you might want to adjust yourself, ask them about.
Do a general look over as well, looking for any obviously loose bolts, dents, scratches, whatever. Make sure it's in perfect mechanical order. The shifting should be smooth and crisp in every gear. The brakes should be adjusted perfectly.
Buy a helmet if you don't have one.
One caveat though: because you're picking it up on a Saturday, they might be VERY busy, so doing a lot of adjustments might mean you'll be there for a while because they'll have to deal with other customers as well, while they're doing the adjustments.
Last but not least, enjoy the bike!