Add Community Sources. Most third party applications are found under Community Sources in Installer.app. Until you add this feature, you won't see most of the dozens and dozens of available applications from repositories like SMXY and Conceited Software.
Try out some great apps. My personal favorites include my own Voice Notes recorder (for iPhone only), Apollo IM instant messaging client, and Mobile Colloquy for irc. There are productivity apps, games, and utilities, all available for your mobile device.
Add direct file access. Install the BSD subsystem and (in Community Sources) Open SSH (both from NerveGas). Once you've installed ssh, you can use any sftp client to transfer files onto and off of your unit. On the Mac, you can also install MacFuse and sshfs to gain Finder access to your units. Remember that the new iPhone and iPod touch 1.1.1 password is "alpine", not "dottie". Many GUI sftp clients may not see the entire directory tree. In this case, you may want to enable afc2.
Know when things go wrong. The latest Installer.app has been hammered by new users. If you get a "package" error when trying to install, just do a re-install. You may need to uninstall first, depending on the progress when things failed. If you touch an app icon and it launches, pauses and quits, make sure you've installed the BSD subsystem. Failing to install BSD is the number one reason most app launches fail.
Know about restoring. If you ever change your mind about a jailbreak, just restore your iPhone or iPod touch using iTunes. Assuming you haven't unlocked, your iPhone or touch will be identical to one shipped from a factory.
When things slow down A number of people have reported system slow-downs after jailbreaking. Unfortunately, a roughly equal number have reported the same problem without jailbreaking. If this happens to you, just restore your iPhone or touch and re-jailbreak.
OMG, OMG, OMG restore failed This isn't that uncommon. Try restoring again once or twice. If iTunes fails to see the iPod or iPhone, google for iphuc dfu mode.