What to check when examining paper proofs? When you receive a paper proof and review it prior to publication, what exactly should you be looking for?

The things that come to mind are any changes in the annotation of author list and the corresponding author. What else is there?
This is basically the last chance to fix anything (non-substantial) in the paper, so in addition to the things you mentioned, I usually check for spelling or grammatical errors, misprints in formulas, etc. Sometimes one might want to add a sentence to clarify something.

Finally, if the journal did any copy-editing, you should check its job. Some journals provide a list of changes they made for that purpose. You should also check if the pictures and formulas are still in the right places.

Added: sometimes it's necessary to update the literature list, for example if preprints cited there have been published in the meantime.