There are some good threads here and other KTM boards about this. Here's a partial list of stuff to do:
Blue Loctite:
Shifter bolt
Kickstand bolt
Kickstarter bolt
Front fender brace front bolt
Rear brake pivot nut
4 subframe bolts
(sprocket bolts come with red loctite from factory now)
Bearings to grease (I use Belray waterproof grease):
Steering stem
Brake pivot bearings
Chain roller bearings
Swingarm bearings
Wheel bearings
Some of the bearings are sealed. Just pop the covers off and force grease in and re-install the covers. Some have to be greased in place like the swingarm and lower steering stem bearings.
Get a skid plate and bark busters if you ride much offroad. I change my oil about every 150-200 miles and I do the filters and screens every 3rd time. From talking to some 2000 RFS owners, I think that may be a little earlier than really needed. There seems to be extremely low occurance of any oil related problems.