An inspector will check the following areas and more but you can look around and identify some areas that may need improvement beforehand:

Furnace - an inspector may test numerous parts of the furnace including the flame sensor, motor, among other internal parts; check for gas leaks and recommend repairs. You can help reduce the need for unexpected and expensive fixes by changing your filter every 6 months and having your unit serviced by a professional at least once a year.  

Gutters and Downspouts - check to make certain no gutter nails have come loose, or that no wood rot has occurred. You may also want to make certain that downspouts aren't allowed to drain too close to the foundation and that the soil slopes away from the home. 

Roof - make certain there aren't any loose shingles and that the roof is in good shape and doesn't show any significant damage.

Siding - check to make certain nothing has come loose and that there aren't any holes or cracks.

Windows - check for rot, tight seals and holes or other defects that would allow air to pass through.

Termites - if termites are present often times you will see small narrow mud tubes near foundation walls, floor joints and other parts of your home. The inspector will be able to see and identify areas you may not be able to see. 

Ventilation - having proper ventilation ensures your home doesn't have higher energy bills or issues with mold. It's also important to make certain there is adequate insulation.