In my experience...
Signs of damage to bumpers & the body in general - make sure all the shut lines are even;
Airbag light - make sure it lights up when you turn the ignition on, then goes out a few seconds later (notorious pretensioner problem);
Clutch - if it bites when the pedal is high, if may be well worn;
Gearchange - make sure it's not sloppy, should be a nice precise feel to it;
Split CV joints;
Wet carpets (esp. if you buy in Gloucester
Rear electric windows - make sure they work well;
Electrics - make sure there's no warning lights on the dash, and make sure everything works as it should (try all the lights, wipers, etc).
Run the car & make sure it heats up to about 90C (thermostats known to be a weak point);
Door seals - make sure they're intact, esp. around the roofbar mounting lugs;
Loads of smoke on acceleration may mean injectors are worn;
Front lower foglights tend to crack easily, so have a look)
Fuel consumption wise, I'm getting about 45mpg out of my 2.4JTD, and I love it
Hope this helps!