Bear one very important thing in mind: production has reached a temporary standstill due to problems with the joysticks. The problem was fixed, but requires getting a new batch made, which is currently ongoing. As such, there's a chance that you may not receive it by Christmas despite any optimism that may have arrived in the order email you were sent. They're hoping to, and if there are no problems in getting the new joysticks made up in a timely manner they should, but be prepared with an IOU just in case.
That being said, what you've effectively bought for your son is a computer and a PSP mashed together. It plays games, it has a web browser, a text editor, MP3 player, all the stuff you would expect a computer to be able to do, at, like, 1/5th the size. I use mine to take impromptu notes, frequently look things up online while out, and watch old episodes of Star Trek while waiting in lines. Programs (such as the aforementioned games, web browser, etc...) can be downloaded entirely free. Unfortunately, unlike most computers with their hundreds of Gigabytes of storage, the Pandora is very limited in what it can hold out of the box. He could probably download a few things, and there already are a number of things on there he could use out of the box without downloading, but to get full usage to be able to install all the programs, or store his music, or save his documents or whatever else he intends to use it for, he'll eventually need an SDHC card to increase the storage. They range from 4GB cards for as little as $10, to 32GB cards for $80 or more. If you just want to get him something, the cheap 4GB card should be more than enough for a start. Maybe you can consider a larger card for a birthday present or something in the future