Ok, you've got your new HDTV and now you want to set it up. There are a few things you need to do first. Here in Canada, over-the-air HD signals are available, but not widely available. Selection is pretty limited. The primary way you'll be accessing HD content will be through cable or satellite.

Satellite tends to be more expensive than cable, both hardware and service wise. If you have more than two TVs in your house, you will need more than one dish as well. The big advantage with satellite though is the fact that all channels are 100% digital. Digital video tends to upscale a little better than analog signals. Cable on the other hand uses a mix of analog and digital. For the most part, all basic, out of the wall cable channels will air in an analogue NTSC format. Most network TV stations will also air in HD on separate channels however. When choosing a service, check what's available in your area and buy the best you can afford.

A word of warning, not all HD channels air HD content all the time. In Canada, there are vary few channels that air in exclusively HD. Discovery HD Theater and PBS HD are two examples that are exclusively high definition. CITY TV is mostly HD at this point. Many networks only air their prime time programming in HD. Many programs will still be in 480i, 4:3 aspect. They'll be accompanied by two black bars at the side of your screen as such. They are usually upscaled to look better on HDTVs though.

Setting up the TV and cable/satellite box is pretty strait forward. It's best to put the TV in the center portion of a wall, in a place where it can be seen easily from anywhere in the room. I see a lot of decorators on TV suggesting that you put flat panel units above a fireplace. This is a huge no-no because the heat can damage the sensitive electronics. Remember that heat rises after all. Refrain from doing that. Mount the unit on a table, or on the wall, out of direct heat and/or sunlight.

Connecting your TV:
There are a variety of ways to connect your TV. I'll go through the various video connectors here.

Composite: This is your standard yellow video jack seen on most TVs. It's in the RCA style. This can only transmit standard definition video and will not be used for HDTV.

S-Video: A semi-digital connector resembling the old mouse ports on computers. It has a better image quality than Composite but also cannot transmit HD signals.

Component: Like composite, but divided into three cables, a red, green, and blue signal. The most common type style of HD connector. Good quality and can transmit up to 1080p. It is an analog connector.

VGA: Most common on computers. Stands for video graphics adapter. Most HDTVs have it. Similar video quality to component. Also analogue.

DVI: Another connector commonly found on computers. Stands for Digital Video Interface. Many HDTVs and boxes use this port. It's digital and provides the best image quality.

HDMI: Stands for High Definition Multimedia Interface. Increasingly becoming the standard since it carries the audio signal as will, using only a single cable. Similar quality to DVI but supports restrictive copy protections. Not recommended if possible.

Coaxial Cable: Common for standard def TV, can transmit HD but its generally best to use one of the other methods. Coaxial cable is good for transmitting raw data, but not decoded video.

Audio:
Most HDTVs have built in speakers, some do not. This is the case if you decide to use a computer monitor as your TV. HD signals are usually broadcast in Dolby Digital 5.1 surround sound. I won't talk about the different types here. It's best to buy whatever fits your room. If you just want to use the TV's built in speakers, that's perfectly fine.

HD-DVD/BD Disc and HD Gaming:
You don't need HD from your cable/satellite provider to get HD, though it's the most cost effective option. Your other option is to buy an HD-DVD or Bluray drive. These are an evolution of DVD and can playback movies in full high definition. There is a Beta vs VHS-esque format war going on right now, though Sony's Bluray seems to have the edge. The players are quite expensive right now, running over $400. I'd hold off buying these until the prices come down. However, they may be good if you want HD in a cottage or RV.
As for gaming, both Xbox 360 and Playstation 3 can output video up to 1080p. You can play console games at high resolutions, just like on your computer.