prophecy holder: I agree, there should definitely be a really nice full-size (thick) printed Duke Nukem Forever manual in the game box. With lots of Duke details and facts, cool quotes from Duke, etc. Something that's filled with Duke style and attitude, to really get you in the mood for some alien stomping.
Also, I think they should include a full soundtrack CD for the game, that would be great.
If not in the regular box, then for sure in the Collector's Edition box set.