Well, firstly, you need to install everything that can run Mega Man games...
Ok, seriously, a good start would quite possibly be verifying the status of the codecs in your location, and then if all is well installing the
Community Codec Pack (if memory serves, you'll need to do this not only for various types of media files, but also for FUSE, one of the ZX Spectrum emulators that are available). Grabbing the PND-based updater for Hotfix 5 may also be worth your while, although at this point they may well be shipping with it pre-installed (you'll be able to tell on boot-up - you'll see "HotFix 5" in the top-right corner of the progress screen if Hotfix 5 is installed) - it probably won't hurt to grab it, just in case, though.
You may also want the recent tweaked/fixed PND of the browser, Midori, from
here.
Media-players are so incredibly subjective that it's difficult to recommend one, unfortunately. For music I use Deadbeef, myself, but your mileage will almost certainly vary.
As for SD Card formatting, to be pedantic, it's very necessary if you expect to be able to read your cards!
Less pedantically, most cards come pre-formatted to FAT32, but it wouldn't hurt to re-do this yourself just to be sure that everything's in tip-top working order. If you're using Microsoft Windows, it's a good idea to format your SD Cards with the official Panasonic SD Formatter tool (unfortunately it does not work under WINE on other x86 OSes, however) - you can get this from the tweaks thread in the Support section (that thread is quite a good source of information in and of itself, incidentally - a lot of common issues can be solved by that means).
Beyond that, you'd better start figuring out which emulated system/native game you want to try out first!
(Congratulations on getting your shipping e-mail, by the way - I'm sure you'll enjoy the Pandora muchly.
)