Great advice Brett, I would add that using AppBrain will make finding apps much easier. Make sure to install the AppBrain app along with the Fast App Installer for maximum functionality.
Number 1: Read these forums, including older posts, and go through the archives of articles that appeared on Android Central. Almost everything I know about Android and my Evo I learned here.
I've had my phone about two weeks and this is great advice. AppBrain.com is awesome to check out the applications that are available. Read the forums / articles of Android Central for what is out there for programs and how to use your phone.
I came from the Palm Pre (been a Palm user forever) and made a list of what I needed and wanted. I actually had a few programs set up on AppBrain set up to install before I even had my EVO! Here are the steps I recommend:
1. Make a list of the programs you use now that you will need on your phone. Then read the forum / articles for what is recommended for these programs, you will probably also find programs that you didn't know that you need.
2. You can then go to AppBrain.com to see screen shots (usually) and read reviews and the program description. Do a search on AppBrain for other programs that you need, maybe even the exact same ones that you now use and love.
3. Do a search in the forum for how to do the things on your new phone that you now do on your phone. (ie how to send a file by bluetooth, how to tether, etc.) so you can be up and running when you get your new phone.
4. Make sure you know all of your settings (gmail account, password, POP settings, Exchange, Facebook, Twitter, etc.) to get everything set up.
5. There are some recommendations for battery / setting setups. Print them out.
6. As you customize your phone, back it up. If you are like me, you will probably try 3 or 4 programs before you settle on the one that you like.
I had a checklist of everything I needed to get the phone where I wanted.... (it is still a work in progress, tho)