Just bought an NOS Proto sound 2.0 loco, what should I expect?

I would definitely make sure the battery is healthy before you run it.

It's hard to overstate the benefits of speed control.  Protosound 2.0 can force a loco to run much slower than it otherwise would.  The sound is also improved over Proto-1, and the announcements, special sound sequences, etc., contain some fun surprises.  But the added hardware and complexity can hurt reliability.  The early 5-volt systems are more trouble-prone than later version.  If your electronics are DOA there's an upgrade path -- for a little while, anyhow -- but it won't be cheap.

Proto-2 also allows individual control of two locomotives on the same track using DCS.  That's another chapter.  Personally I'm not a fan of DCS, but if you achieve success it adds a fun operating dimension and obviates much of the need for block wiring, control panels, etc.  Good luck with your noew train!

Use the catalog number to look at the owners manual on the product support tab on the https://mthtrains.com/product_locator If the battery described is 8.4 or 9 volt then you have a locomotive with the failure prone 5 volt system.

@intermodalman, congrats on your purchase. As always, these questions need to have actual product numbers and descriptions.  Pictures go a long way as well.   General recommendations on older mth locomotives with ps2 are always battery replacements -before you ever power it up.  Can't tell which battery you need without item number or photo.   Other than that, lubrication can vary greatly on the model.   

Also how do you intend to operate it, conventional or dcs?  Do not use a lionel cw_80 for power.  The output of the CW-80 is a waveform that will cause poor and inconsistent performance from a proto2 unit. 

The actual product number would be useful if you want definitive comments.

I have Proto 1, Proto 2 and Proto 3 engines.  Proto 2 is my favorite for the way mine operate in conventional mode.  There are two things which I would recommend, based on my experiences.  The BCR (battery replacement) is a worthwhile addition, to be installed before even running the engine.  The second recommendation:  Traction tires.  The Proto 2 engines have been around awhile.  When I take one out of the box and run it, after awhile the traction tires need replacement..... they dry out and stretch, and then come loose.  If your engine is a diesel, easy to change.  If your engine is a steam engine, elsewhere on this site are instructions on how to make a "tool" for assisting with the change....made from paper clips!....not too difficult.