Andrew Lindstrom wrote a list of 7 Must Dos Before Launching Your Blog.
A very good list Andrew, we do all of these ourselves.
Two minor add ons to the list.
Search Meter. If you want to track what people search for once they arrive at your site, you can use a plugin called Search Meter.
Robots. You might want to set up Robots.txt to stop robots indexing some parts of your site – we use KB Robots.txt for this purpose, as it works well for both WordPress and WordPress MU. Its a minor detail, but I like to disallow wp-login.php ( Google seems to have a fascination for indexing your WordPress login page, sometimes before more prominent and useful pages).