Dave will be able to elaborate more on what to look out for but some of the more obvious ones are...
Compression - if the motor is standard, expect around 100 to 110PSI at 250RPM. If the motor is ported, 90 to 95PSI for an extend port. (Not the best figures but fairly safe.)
Coolant leaks - look under the bonnet lining, if there is any white film or residue then it means there is a coolant leak somewhere.
Vacuum leaks - Make sure that the car will run without stalling with the aircon on and off, in neutral and in park etc. Also make sure that the car's turbos are boosting correctly. The 20B should register about 172Kwatw standard. Boost should go to 0.7bar in first gear and stabilize at around 0.5bar.
Water Seals - start the car from a cold start without the radiator cap on. If there are bubbles, then you have a busted water seal.
Electronics - parts are hard to come by, especially things like alternators, window switches etc.
Automatic - look for smooth changes between first and second. Also, poorly maintained Cosmo auto's will slip under acceleration.
Suspension bushes - The 20B creates a lot of torque. This usually results in shagged bushes. Not really a problem until you see how expensive a full set of replacement bushes are.
These are the main ones I encountered when looking for Cosmo's a few years back. Hope it helps!