No, they aren't stainless...just an aluminium outer shell over mild steel. They don't seem to corrode easily however, and most 2002 bikes are still on their originals so rot isn't a problem. that's probably due to their thick walled construction as they are damned heavy.
Things to look out for on a DL? not a lot, they don't tend to go wrong. Most checks are standard stuff like corrosion on the engine cases etc caused by neglect/infrequent washing and winter use. Same sort of thing you'd check on any bike.
Some folk go on about vibration, but the '06 bikes should be fine as Suzuki modified the clutch baskets after 2003-4. Certainly my '07 is not as smooth as my Trophy 12 was, but then, as a v-twin I didn't expect it to be. The only other criticism is the screen, which, like a lot of bikes, is pants from new. Most owners fit a madstad bracket to alter the angle of the screen or fit something like an MRA screen to change the airflow.
Best thing to do? Take it for a test ride and enjoy it.