With all the new rooters out there (welcome), I would just like to make a little reminder because the importance of this step seems to get overlooked at times...
Make Nand Backups!
To do so, I recommend going here
and reading section 3 very carefully (thanks matlock).
Before you flash anything
it is good practice to make a backup. Before you flash a new ROM; make a nand backup. Before you flash any kind of theme or mod; make a nand backup. Even if you just rooted so you can remove bloatware and possibly tether; make a nand backup! They are quite easy to make and can help be a safety net if anything goes wrong. If needed, you will be very grateful you have one.
Anyway, I just wanted to throw this out there in case anybody has rooted and has not made one. Happy Evoing.
Flyjbaker also has a good comment below where he points out "DON'T FREAK OUT."
I can add that there have been very, very, very few situations where I have heard of people having problems that are unfixable. It is not impossible, but very unlikely that you will truly "brick" your phone.