Hey, I just got one yesterday too! I got to break it in last night. I'd say go make a Mii first... then download the internet channel and the everybody votes channel. You'll also most likely want/need to do the system update.
You can use your Mii in Wii Sports to track your "fitness health age" and things like that so it's good to have one made already. Only other thing I can say is remove all breakables from your coffee table, like glasses, or vases before you start playing Wii Sports because you can't quite be sure how into it you might get! I am speaking from experience on that one.