Yes, definitely bring your favorite saddle and pedals.
As per what to look for on a test ride, the main things are FIT and PERFORMANCE. Fit is pretty self-explanatory, and will narrow your choice to a few bikes that feel really very comfortable for you to ride. And performance, just start by reading a few professional bicycle reviews and that will give you an idea of what to look at and how to judge the performance of a bicycle.
Have fun test-riding, it is always an exciting moment!