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?
One more thing to watch for if the format has changed, say if you submitted the paper in some garden-variety LaTeX style and the journal converted it to its own style: The new line breaks can create hyphenation errors. In general, TeX is amazingly good at getting hyphenation right, but it's not infallible. One of my papers had the misfortune that "colimit" landed on a line break and was hyphenated "col-imit".