Like every new pc these days, the Surface Pro 3 won't let you just use it right out of the box. Before you can play with your technical marvel, you'll have to run the usual slew of Windows updates that have been released in the month or more since the device was sent to manufacturing.
But most importantly, you'll need to install the System Firmware Update that Microsoft released yesterday. The company was vague about the specific issues the update addresses, but we know the most critical power management issues early testers had experienced have been addressed along with other "performance enhancements."
Below is the Windows Update screen I saw when offered the Firmware. It's a small download, but be prepared for it to take a long time to install.
Once downloaded, the Surface Pro 3 will start the install, reboot and sit on the screen below for several minutes. Be patient!
Once your system has rebooted, return to Windows Update where you'll see that the machine has to be restarted again to complete the Firmware installation. Be prepared for another long wait (I really wish Microsoft would provide a little more feedback during this process so I wouldn't be so sorely tempted to interrupt the installation.)
Once your firmware installation is done, you can proceed to install some graphics applications. I recommend starting with Manga Studio 5/Clip Studio Paint 1.3.x or Adobe Photoshop CC 2014 so you can experience graphics applications running with Microsoft's native INK API.
We don't know how long it will take before Microsoft releases its pen control panel, but if you find it difficult to draw light marks, try editing your pen pressure curve if your software allows.
Before installing any software that requires Wintab drivers, you'll need to head over to N-Trig's site to download the latest version (R16). http://surfaceproartist.com/blog/2014/6/20/n-trigs-wintab-driver-update-now-available-for-download
When you're all done installing your applications, it's a safe bet your desktop won't look as crowded as this!
UPDATE: Here's a useful link to a 100-page Surface Pro 3 user guide PDF courtesy of Microsoft (kudos to Paul Thurrott for the link.) http://download.microsoft.com/download/E/8/9/E8966106-0FAE-40C1-9823-2EC483AC7CF3/Surface-Pro-3-User-Guide-EN.pdf