These are some things to check for right away when you get your Steam Deck.
If you need to return your Steam Deck, here's Valve's Hardware Return Packaging Guide
Some Steam Decks, seemingly more 512GB models than others, have what appear to be bubbles under the screen.
In some production runs a "Delta" model fan was used instead of a "Huaying" model, which some people have found to be louder and have a "whine".
It's important to go over all the buttons on the Steam Deck to make sure they work properly. Check the device inputs by going to the Steam Menu, then Settings, then Controller, and finally select "Test Device Inputs".
Alternatively, you can download and play the game Aperture Desk Job which was built specifically to test the Steam Deck. It provides a more guided experience, and is more fun as well!