Just FYI for people installing on XP - the overall install involves restarting thrice. First is following the install of Framework 4.0. Second is following the install of Windows Installer Update 4.5 for XP. Third is following the installation of the entire thing. To streamline the install and save some time: install Framework 4.0 and Installer 4.5 Update manually before starting the VS 2010 setup. Also, if you don't have SP3, which I know a lot of corporate PCs don't, you may want to install that before starting the whole thing.
Outside of that, the other thing to notice right away is that most of your new projects will default to Target Framework: Framework 4 Client Profile (this can be confirmed by going to your project's properties). This profile has a smaller footprint when deployed, but it is missing some advanced functionality. If you don't care about the overall footprint of you application, I'd change this to Framework 4 (which offers all Framework features).
Something else made me super-happy: when you pause your cursor on a variable, all occurrences of that variable within the scope are now highlighted. So if you're in a method and you're processing a parameter, the IDE recognizes that that parameter is part of the method signature, and highlights only the necessary occurrences. KICKASS! I have been waiting for this feature since 2005... good thing MS is listening.