What KSmithInNY said, plus...
Most of these are assuming you are new to android...
-Get familiar with the market. I use appbrain to manage my apps from my desktop PC but some folks prefer doing it all right on the phone. Play with both to see what works best for you.
-Play around with the google apps... navigation, places, search, gmail, and calendar. There's an amazing amount of stuff there, all for for free.
-Download a file manager, I use Astro (free).
-Setup your accounts... email, social sites, etc.
-See if institutions that handle your accounts have an android app that allows you to view/manage the account from your phone.
-There will be a few widgets/utilities that you'll eventually discover you need/want... something to manage audio volumes/profiles (I use audio buddy), widgets to turn on/off various functions quickly (I use switchpro).
More advanced stuff once you become familiar with things:
-Check out Launcher Pro (a home screen replacement that is very customizable, stable and feature rich)
-Check out the free wifi tether functionality
-If you are technically inclined check into rooting your phone, custom roms and advanced utilities like tasker.
This is my how I sorta progressed thru learning android... but most of all, just dig in. There's a lot of fun stuff out there.