Just got the i7 Air and the fan came on immediately. Loud and continuous. I have an 11 inch (prior model) that is dead silent. Also, my Macbook Pro (2010 17 inch) is dead silent.
Is this a known issue with the air or is something wrong?
Processes that are using a lot of the processor are what causes heat buildup which is what causes the fan to run.
Anytime that happens, you can launch the Activity Monitor program, set it to show "All Processes", then sort it by the "% CPU" column. Simply look for the processes using the most CPU (as that's what's generating the heat).
The first time you turn on a Mac (or upgrade an existing Mac to a new OS), Spotlight runs and indexes the drive. You won't see this process running in your Dock, but it can generate some heat, and take awhile to finish. So that might have been it.
Either way, reboot your new Air, and if the fan starts running again, try the Activity Monitor thing and see what process is causing it.
Something else you can do, if you don't want to wait for the fans to come on, is start the Activity Monitor application, then going into View > Dock Icon > Show CPU History. Then down on your Dock, you'll have a graph always showing you how busy your CPU is. Anytime it spikes (like in the example below), you can double-click on the Dock icon and see what's going on.