Sometimes mine checks automatically. At least I think it does. Sometimes I'll go to my home screen and the App store has a little red circle (3) on the corner telling me I have updates. Very slick. They did a great job with that.
Now if they can make these apps stable and provide multiple screenshots from the app information page on the iPhone itself, then I'll be even happier. Another neat option would be to do a trial, which would let you use the app for a short period of time and then either force you to buy it or delete it after the time runs out. The time could be set by the developer. For instance, a game app would have a pretty short time period so that people wouldn't just use it to play free games. Though a developer for a productivity app might let the user try it for a few days since it takes longer to review the usefulness.
Also more ways to sort the apps would be nice too.