What is the first thing a new owner should do with it
Well, um, put it on your wrist...
I think this is something you need to discover for yourself; people like different things and want to do stuff in their own way. But like, checking out the various settings in the accompanying iPhone app is probably a good idea, taking note of stuff like orientation and which wrist you like to wear it on (even though the watch is typically portrayed as being worn crown outwards on the left wrist, this is all completely configurable by the wearer.)
Check out the dock (which you access by clicking the side button once) and how you can configure that one. You can let it be dynamic, showing your most recently used apps in the order you used it, or you can make it fixed so it always displays the same apps in the same order, with a space at the top for your most recent app.
Also, check out the watchfaces, and how you can configure them. You can configure on the watch by force touching the watchface and store several at once and switch between them by swiping sideways also on the watchface. There's nifty shortcuts, like clicking the crown in an app brings you to the watchface, then double clicking crown will bring you back to your most recent app. Double clicking the side button activates apple pay (which you will need support for from your bank.) Double clicking crown activates Siri. Holding the side button for several seconds activates a prompt if you want to call your area's emergency number (112, 911 etc), and if you still keep holding it the watch will dial anyway (via your phone if you don't have LTE watch and no phone with you.)
You can unlock the watch by unlocking your iphone, and/or by using an optional PIN passcode. It's a good idea to set a PIN tho, and I believe you can't use apple pay without having one. At least in prior watch OS versions, if you don't lock your watch at all anyone could nab it and use it as their own; if it still is like that you definitely want to secure it I would say.
There's lots more stuff like that which you can bury yourself in once you start to get familiar with your new gadget.
Oh, also... The pulse sensor. It requres skin contact to be (at its most) accurate, so you should wear the watch tight enough so it doesn't slip around (but not so tight it restricts blood flow and feels uncomfortable.) Slippage can also make it (stealthily! unfortunately...) lock itself while you wear it, which is a bummer because then it won't track your activity or give you alerts and notifications.
