Hi, family man --
Yep, oil changes and all of that are included.
When you pick your car up, your dealer should give you a nice orientation to your car -- where things are (the battery in the sedan is in the trunk, for example), how to use everything, etc...
I would also recommend having them customize the options associated with your keys while you're there. You can customize a number of things like if the car should move the driver's seat automatically to its preset position when you press the unlock button on the remote and if you want the car to lock the doors automatically when you drive.
Other than that, there's not a whole lot to keep your eye out for! I have an '04 330i and actually blew two of the speakers due to a faulty amp but, thus far, those are the only problems I've had, period.