Often babies are born with the vernix that protected them before birth still covering their skin. It will gradually disappear over the first two or three days. 'Late' babies often have less of this vernix, and some have dry skin at birth as a result.
Babies who are born very early may be covered with fine hair, which can alarm parents. Most of this will just rub off. His head might be an odd shape if it has been moulded as he passed down the birth canal and he may have 'stork marks' that will probably fade.
Gently feel the top of your baby's skull; there are two soft spots on the head where the skull bones haven't yet grown over and fused together. They look fragile, but are in fact covered by toughened membranes. Your baby's umbilical cord will have been cut and clamped about 2.5cm from the tummy with a plastic clip. Your midwife will show you how to keep the cord clean.
Babies do not like bright lights after the darkness of the uterus, so turn them down. Your baby's ears are still full of amniotic fluid to protect them, but she will still be able to hear and recognise your voice.
Pick your baby up when you want to - cuddle him in bed if that feels right. Unwrap the blankets so your baby can feel your skin. Babies (and their mothers) often enjoy naked skin-to-skin contact: this seems to help a baby to feel able to breastfeed.
Hold him against your breast and guide him as he seeks your nipple. Don't worry if he shows no interest in sucking though - there's plenty of time.