Software bugs really aren't a problem, those will be fixed with over the air updates, it's the hardware ones you have to look out for.
With the Evo 4g, some people had the lifting screen issue where the glass started to lift up from the rest of the phone which could easily be felt, in more severe cases it could be seen. My phone was one of those, so since I was well within my 30 day period, I went to Best Buy, showed it to them, and a new one was on its way and arrived withing about 4 days. Some people have dust under the screen, that also happens rather early and will also be replaced without any questions. My friends phone had two tiny dead pixels. They didn't show up red as they usually do, they were black, again, this phone was replaced right away as well.
Neither he nor I have had any issues whatsoever with the replacement phones (new) we received.
Is it a risk buying a brand new phone on day one? Sure, to some extend, but within 30 days they have you covered and it will get replaced with a new phone, after that you have at least one year warranty (depending if you buy more warranty for yourself) and you'll get a replacement refurb in the case of warranty effects. If you break it, well, you know the deal, better have insurance through Sprint or Best Buy.