I was not amongst the first to order a Raspberry Pi so I received mine only last week. Here's a story of how I set it up and what issues I encountered on the way.
From the get-go I experienced issues with my setup: it was not stable, but corrupted the file system in really short order. Usually running the raspi-setup program, going through the settings and rebooting was enough to screw up the file system beyond all repair.
First I tried to solve this issue by trying out a couple different OS distros, using different methods of powering the system and using minimal amount of peripherals. I tried the official Raspbian "wheezy" image, the Raspbian Pisces image and OpenELEC. I could get none of them work to an useful degree.
Getting the power source in good shape was likely a notable part of getting the whole setup working. Originally I used a small adjustable power supply I had lying around. One issue was that the power supply heated up significantly when in use, even though it was rated for even more current than my setup consumed.
The other, maybe more major, issue was that the USB hub was powering the Pi from both the power input jack and the USB output jack. If I powered the Pi from a mobile phone charger and the USB hub from the adjustable power supply, unplugging the phone charger was not enough to power the Pi off. It has been reported that this can cause file system corruption, since while the electronics can be powered from the USB output jack, the 100 mA polyfuse in its power rails prevents the electronics from receiving enough power, causing the voltage to drop under recommended levels. This voltage drop can cause the SD card to behave erratically.
To prevent the USB hub from powering the Raspberry Pi through the USB output jack, I cracked the hub open and started to investigate.
Here on the first picture you can see the modification I made to the hub: the USB connector to host computer is attached to the circuit board on top centre. The red and black leads of this connector, marked helpfully with letters R and B, were the leads that supplied the operating voltage from host to the board – or from board to the host. So, I cut them. Probably there was no need to cut the black lead and it would have sufficed to cut the red lead providing the +5 V connection and leave the 0 V black lead as-is, but I had already cut both leads when I realized this. Fortunately there's still the shield connection, which connects to the metal outsides of USB connectors and is likely tied to 0 V line anyhow. This modification makes this hub unusable as host-powered hub as the host can no longer power the hub or the devices connected to it, but I think I can live with that.
Even with the power issues solved, the file system corruption continued. Next up on the list was the SD card itself. On the left is a Transcend 4 GB Class 6 SDHC card I had been using in my old netbook to extend its fairly small SSD disks. Even though it had served me well on other uses, this card was totally unusable with the Pi. Major file system corruption and frustration ensued. When I switched to using the 8 GB Class 4 Kingston MicroSDHC and adapter on right, everything just started to work. No more file system corruption.
The markings on the back of the unusable card say "8281AB 4G 05D91" while the working card is marked "C08G" and "SDC4/8GB 56"
So, after a long wait for manufacturing and shipping, some hardware modification and changing memory cards I finally managed to get my Raspberry Pi in a working state. Right now it's nothing but a low-power silent device I can use to browse the web, but maybe I'll come up with some more interesting things to do with it soon.