This is really one of the classic virtual server questions - the only difference is you're saying "jail" instead of "VM".
If you remove the word "jail" from your question do you know what to do? (If so you can stop reading :-)
A specific checklist is by definition Too Localized to be answered on Server Fault -- It's intensely specific to your environment. I can tell you that your checklist for setting up a jail should be pretty much identical to your checklist for setting up a server (with the caveat that you won't be doing any kernel-related stuff, and the addition of some jail-specific steps which you should be familiar with already -- If not the FreeBSD handbook has a pretty comprehensive Jails chapter which should cover it.)
Do you already have a checklist for setting up a regular server?
If not, it should include things like:
- Adding local user accounts
- Installing commonly used packages
- Setting up network user accounts (NIS, LDAP, etc.) if you use them
- Applying local configuration (NTP, DNS, etc.)
- Setting up & configuring the servers you want to run (Web, Mail, etc.)
Your full checklist may also include some stuff that's not relevant to jails, like:
- Partitioning your disk (usually jails are monolithic though other configurations are possible)
- Installing a custom kernel / configuring loadable modules
- Configuring IPMI or other lights-out management controllers
Which you'd usually do on the host machine as you would for any other system.
Write down what you do for your next server build.
If you missed stuff add it to the list as you fix it.
Eventually you will have a comprehensive, site-specific checklist (probably several. I have one for web servers, one for DB servers, one for mail servers...).