Congrats on your new Droid!
One thing you will find is that (once you have put some music on it) the Droid plays songs in alphabetical order, not track order. It infuriated me for some time until I found the "3" (as in cubed) beta music player in the app market. It not only plays CDs in track order, but it will also grab album art for you. It's FREE and you can search the market under "rockon".
There are plenty of great apps out there, like the free game "Abduction" and the paid game "Deal or No Deal". Both will help you pass the time enjoyably.
"Handcent SMS" is also a great free replacement for the stock messaging app. Once you're a little more comfortable with your Droid, we can talk about adding Swype and possibly even rooting and installing customs ROMs. For right now, just enjoy it!
BTW the dock is worth its weight in gold IMHO. I use it every night as an alarm clock and charger.