It comes with a free Portal-universe game that teaches you how all the controls work. It's fun. Play it immediately. It will teach you that the thumbsticks are capacitive. Turns out that's a useless feature, so just get some nice thumbstick caps that make them larger, more rubbery, and more comfortable.
I highly recommend a 180° USB-C adapter to use the power cord while playing. It makes the cord angle down instead of up, which feels more natural. Plus, I feel like it would be gentler on the cord and USB-C port if the cord got tugged hard when plugged into an adapter instead of directly into the Steam Deck.
Plus, with a 180° adapter, you can keep the Deck in it's case while charging. Normally you can't do this because the top of the Steam Deck faces the hinge of the case. But the adapter fits in the case OK and reroutes the wire downward. It definitely raises the deck up slightly, but you can still zip the case halfway closed. I do this because I live in a very small apartment with a high chance of knocking or spilling something onto the Steam Deck if I were just to leave it laying around.
Fun fact: the touch pads don't actually click when you press them like a button, but you will swear they do! The haptic feedback mechanism is incredibly good.
Major Overheating Issue
I don't know how this is not a more widely complained-about problem.
I paired a Nintendo Switch Pro Controller to my deck, played a game, then put the deck in its case while asleep. (You tap the power button and the deck goes to sleep.) Well, apparently, "Wake on Bluetooth" is enabled by default and you can't turn it off! So, I threw my Nintendo Switch controller in a drawer, and of course a button got hit. It woke up my Steam Deck in it's case. I had a game running, so the Steam Deck starts rendering the game and creating a lot of heat that is just being circulated within the case by the fan. The Deck got insanely hot!
I noticed it sometime later only because I heard it make a sound. When I took it out, I used my infrared thermometer to measure the back of the deck, and it was over 140° F. Uncomfortable to touch! It would have sat there for hours like that if I hadn't noticed.
Solution: I had to install the Decky Loader plugin system in order to install a plugin that disables Wake on Bluetooth. I still don't see any way to disable it without using Decky. Decky is pretty great though, and it has tons of cool plugins. Of course, you could also just turn off Bluetooth before putting this Steam Deck in its case, but if you forget, it'll be a problem.