First of all, we should see it being opened, show how good the hinges are, what the controls and keys actually look like in a real P as opposed to on their own (as they have been shown previously).
Next, load Firefox and show some wireless browsing to show the wifi working, maybe play a youtube video or something.
Also a quick showing of the built in music and video playing abilities would be good too.
As for gaming, Quake III would get the attention of the general gaming crowd - show just how powerful this little handheld is.
After that, things that were not running fullspeed/very well on the GP2X should be shown, eg Playstation, Amiga (especially A1200), Dosbox and so on. And while showing all these emus, actually playing a game or two on each so we can see how well the controls and keyboard/mouse emulation (where applicable) work. And playing SF2 in either the Megadrive/SNES emulator would be good to see how well moves can be pulled off with the dpad too.
If theres time left, maybe a classic game or two running in MAME (eg Pacman) wouldn't go astray, and some of the other general applications of the P as well.
AND MAKE TO SURE TO POINT OUT THAT IT'S NOT CONNECTED TO A PC THIS TIME!!!!!!!!! (picking it up and turning it around etc while it's actually running would be the best way to show it's not connected to anything).
I would love to see NullDCe running at whatever state it's currently in as well, although at this point that's probably better left for a seperate video by itself, rather than one that shows off the features of this wonderful new toy.