Let's say you've bought a second hand car that seems decent, but has no service record. What are the things you would inspect, clean or change right off the bat?
I can't disagree with mikes's answer, but I'd like to suggest an even stronger view: assuming that this is a car you'd like to keep for a while, treat it as if no service has ever been done. The age and mileage will then dictate what you need to check out. Find a list of regular car maintenance items (in your repair manual if you have one, or online), and go through everything up to the current mileage. This should be something a mechanic can do for you if you aren't inclined to do it yourself.
As a quick explicit list, basic low-interval maintenance items should definitely be checked (most are easy): lights, tire pressure, battery charge and capacity, wipers, engine oil and filter, air filter, plugs and wires. Then move on to stuff like transmission fluid, fuel filter, belts, hoses, and cables. (Fluids should be changed without question.) I also agree with mikes on the timing belt: that and transmission problems seem to be common reasons for people to dump cars.
Regardless of your plans for the car, higher-interval, but safety-related items should be looked at ASAP: brake pads, fluid, and hoses; steering fluid; and tire condition. If for some reason you didn't get a pre-sale safety inspection, also make sure someone looks at the axles, wheels, and steering connections for soundness.
The first thing I recommend is to not get a state required inspection sticker (if needed) from the seller. Many dealers will include it in the price or have a station that they use. You want an independent check of the emission status and safety.
I always do an oil and filter change. Even if the oil looks clean, you have no idea if it is the right type, or the quality that was used. Check the air filter and cabin filter if the car has one. Check the brake pads so you have an idea if they need to be changed now or in six months. Have the battery checked so that if it is marginal, you can replace it before it quits.
If the car has a timing belt and the mileage is near the change interval, get it changed. At the least, have a mechanic look and evaluate if the front of the motor has been apart recently. Many people will trade or sell a vehicle to avoid the cost of the belt change.
One item that hasn't been mentioned but seems like it should be on the list is cleaning the MAF ( and maybe IAT ) if they're the hot wire type. Even though it's not considered "regular maintenance" it seems like they seem to get fouled allot on older, high mileage vehicles. I did a partial, quickie cleaning of mine on my 97 Mazda 323 and saw an immediate difference in the cars behavior. Here are some pictures of what one looks like before and after cleaning ( not my model ).