Apple really meant the iPad to be paired with iTunes. They didn't do a very good job of making sure that the iPad and iTunes would play nice if things don't go the way they planned.
If you haven't connected it to a computer and synced it with iTunes, as the instructions suggest, do it before you buy any movies or music from iTunes. Apps aren't too big a problem. You can always download them again for free, even if they were paid for. Pick your computer wisely. You can only pair your device with one at a time, and switching isn't quick or entirely trouble proof.
If you already have music or other media on the iPad, do some research before syncing with iTunes. It may keep you from loosing stuff you value.
Even if you never intend to buy anything from the iTunes store, you are going to need it eventually, when the next iOS upgrade becomes available.
Other than that, play, have fun.
