You've torn off the cellophane and loaded the disc into your console of choice. Watched the opening cutscene unfold with John Marston's arrival in Armadillo, ridden off to Fort Mercer and had a bullet lodged in your gut. Now you're fully recovered and wandering around the idyllic setting of MacFarlane's Ranch. You've got your trusty six-shooter, any number of horses to hop on and ride, and an massive open world waiting before you.
Sooooooo... now what?
(1) Stay Close To Home
The Wild West beyond the borders of MacFarlane's Ranch isn't overwhelmingly dangerous, certainly no worse than some of the more gang-infested areas of Liberty City, but there's more than enough to keep you occupied in the early going in the immediate vicinity of the ranch.
(2) Learn From The Master
Bonnie MacFarlane is a kind woman, but also a tough one. She and her father Drew have put together a good life for themselves in New Austin. As soon as the game starts, go directly to Bonnie. Take on her first bunch of missions, at least until you get your own lasso. That loop of rope will quickly become one of your best friends in the wilderness.
(3) Explore Armadillo
The whole world isn't open to you from the outset, but a large chunk of it certainly is. Once you've got your rope squared away, ride out to Armadillo and check out the surrounding area. Open up some new locations on the map; keep an eye out for Pike's Basin and Twin Rocks in particular, to the north of the small town. Gang hideouts are found there later -- though not too much later -- so having them open early will make fast travel later easier.
(4) Home On The Range
Speaking of fast travel, there are two ways to do it in "Red Dead Redemption": if you're in a town or settlement, proceed to the exclamation point on the minimap. That's a stagecoach; you can pay the driver to take you to any discovered area or to any waypoint you select on the map. If you haven't been to said area, the stagecoach will drop you at the closest explored location. The other fast travel option isn't as obvious. When you're out in the wilderness, find a bit of flat land, press the Back/Select button to open your satchel, look in your Kit and select Basic Campsite. From there you can save or fast travel in the same manner as you would with a stagecoach, except for free.
(5) Gold In Them Thar Hills
The pull of the Dark Side is going to be strong for many new players. This is the Wild West after all. Who doesn't want to embrace their inner outlaw? Know that you can rob folks before AND after you gun them down. Point your gun at someone and press Y/triangle when the prompt shows up. Don't let the fool run off and tell the sheriff though. Slip him or her loose this mortal coil, walk over to the body and press Y/triangle again when the prompt comes up. Mo' money. If killing and stealing aren't your bag, you've still got options. Roam the wilderness. Shoot any animal that moves, skin it and sell what you get at the local general store. Also keep an eye out for blue markers on the minimap; these are randomly occurring events in which one person or another needs help. Give aid, get a reward.
(6) Invest In Your Future
Now that you've got some scratch, why not put it to use? There are a few essential items that you should keep an eye out for at the general store and gunsmith. Here are your must-buy early game supplies: Rabbit's Foot (an extra 20% on all loot you collect!), Bandolier (double ammo capacity), Improved Campsite (refills your ammo when you camp) and a Winchester Repeater, which is a big step up from the base-level rifle you get from Bonnie. The volcanic Pistol and double-barreled shotgun are also solid purchases, but should be viewed as secondary.