The common custom is to make a slight indentation in the challah with the knife before saying the hamotzi blessing.

The reason for this custom is because normally we cut the bread before reciting the blessing so we shouldn't have to make an interruption between the blessing and the eating. On Shabbat, however, we cannot cut the bread before the blessing because there is a mitzvah to make a blessing on two complete loaves of bread (to commemorate the two portions of manna which each Jew received every Friday).

So instead we make a mark on the challah with the knife. This way we are at least "starting" to slice the bread before the blessing.