1. Plug it into iTunes and activate it.
2. Setup your e-Mail accounts in settings.
3. Turn on the "auto-lock" and "passcode lock" in "settings-general" so you must enter a password after a certain amount of inactivity (you can adjust the length of time). This will keep anyone from getting to your data if your iPhone is lost or stolen.
4. Setup what you want synced in iTunes (Music, videos, bookmarks, podcasts, etc).
5. Set the weather app for your home town.
6. Go into settings and set the brightness level of the screen as low as you can stand. The lower the screen brightness, the longer your battery will last.
7. Mate your Bluetooth device.
8. Plug it back into iTunes and sync it again so the iPhone is backed up.
That's it for starters. Play around with it as much as you like then give it a good charge overnight.
Have fun!
This is more or less what I did.