I have 2 Seidio desktop docks and a car dock and I've been manually changing settings and running the apps I want (usually Pandora). I thought I'd search through the market for an app that would perform different actions depending on which Bluetooth device it saw, but I found something better. I have no connection to the app, just very happy with it.
DockAwake has a list of actions for both car and desktop docks. It will toggle your keyguard, bluetooth, wifi and call mode (BT, speaker, normal), let you choose a screen timeout, and launch an app you choose.
The best part for me is that I can leave BT off to save power, but when I dock it in my car it will turn it on to connect to my stereo and automatically launch Pandora. All I need to do is slide it in the dock and my music will start playing. The only thing the app is missing, in my mind, is a toggle for GPS.