Nanapho.jp has managed to find the hardware diagnostics app in the Nokia Lumia 800.
By simply dialling ##634# on the dial pad one can access the app, which allows one to verify that hardware is functional, including the compass, accelerometer, speakers, camera, LEDs and so forth.
Of particular interest is that the test confirms that there is no gyroscope on the device, something which Nokia has not been talking about much. The Digital Compass does however work fine.
Unfortunately the app also does not give access to the registry, as it does on some LG handsets.
Many more screen shots can be seen at Nanapho.jp here.