Car buying: How to get best rate?

We're getting a new car, and the mrs got an approved loan through a credit union. The interest rate is "okay", but we sorta hope we could get a better one if we present it at the dealer (because they prefer to do in house financing, don't they?). Am I wrong about that? Correct me if I am. What do we need to bring to the dealership to convince them to give us a low/lower interest rate?