Playing guitar is a highly personal experience. Every player has different needs, and that is why setting up your new guitar becomes a matter of personal taste. We generally recommend taking your new ax to a qualified luthier for a proper set-up. Although most guitars play great right out of the box, some need just a little bit of tweaking to make them really perform. Ultimately what you are trying to achieve is:

1. Good Action (the least possible distance between the string and the frets without buzzing or rattling of the string against the fret).
2. Balanced, even, electrical output on each string in all pickup positions.
3. Smooth, accurate tuning action and the ability to stay in tune after bending a note or using the tremolo.
4. Last, but certainly not least, killer Tone!

Keep in mind though, that some of these goals are mutually incompatible. For instance, really light strings and really low action don't allow a guitar to sustain or sound fat, compared to the same guitar with heavier strings and higher action. Finding that optimal playing "zone" is sometimes a matter of compromise.