Scott Hysell has written the ultimate article on Sound Checks for Guitar Noise.
The sound check should be done with a song that's very flexible and easy to play. It should start off easy with just the rhythm guitar, bass, and simple drums. Then add in the second guitar, and then sing a simple verse and chorus, then let the lead guitar wail for a brief solo, followed by a power instrumental chorus (everyone plays their loudest, the drummer goes wild), then end with a strong vocal chorus with full harmonies. It's good to use a cover song. I'll often use ”Feelin' Alright” because it has all the parts, and it's not too fast. Don't use a song like “Sympathy for the Devil” because it's too dependent on the lyrics, and there's not a lot of dynamics.
You should pick a song that your band is willing to play early - almost a “throw away” song, but don't blow it off. The audience is listening, and a bad sound check will haunt you for the rest of the night.
And if you find a problem during the sound check, stop and fix it!