There are a lot of resources to get you started, the setup is pretty straightforward and involves only a few steps, it was just a matter of choosing which distribution to install, which depends of what you plan to do with it.
I plan to use my Pi to communicate with Arduino, so I installed the Adafruit Occidentalis distro, that has features for electronics ( http://learn.adafruit.com/adafruit-raspberry-pi-educational-linux-distro/occidentalis-v0-dot-2 ).
5 minuts later, I was booting Linux on my TV, wow !
There is a config tool to get you started, very useful, I enabled SSH, downloaded putty ( http://www.chiark.greenend.org.uk/~sgtatham/putty/download.html ), and connected to the pi remotely, now I can use my computer to go further.
Being a big Coldfusion fan, I installed Railo ( http://www.getRailo.org ), at first I tried the Tomcat way, lost a few hours, and finaly gave up, it was working but took 30 minuts to boot and took all resources.
The express install with Jetty is pretty straightforward and easy ( http://www.recantha.co.uk/blog/?p=2167 ), after a few minuts I had my Hello World running (
I am really impressed by this cheap mini computer.
Tonight I will interface my Arduino, hopefuly :)