HTC don't exactly make a secret of the fact their phones come with Sense, in fact it's one of their biggest marketing factors, and for some people it's the reason they buy HTC. The only way I know of to get a plain ICS experience is the Galaxy Nexus. Most or all manufacturers selling phones with ICS have their own UI overlay on top. Sense is probably the one that changes things most from the plain ICS experience, but I think they all do it.
I don't know how much time you have to return the phone and get a refund, but if you can, try it with another launcher before you do anything drastic. As aameerp says, it makes a big difference. I ran my DHD with ADW for the first year or so I had it, and only switched back to using the Sense launcher about 6 months ago. ADW worked great and I still got all the good Sense stuff, like Facebook integration, dialer, etc.
Sense isn't just the launcher that controls the home screen and widgets. Bear in mind that some of the Sense apps in the phone (camera, music, etc.) are specifically built for the hardware, so if you change the basic UI with an ICS-style launcher, you can change the look but keep those apps, and continue to make best use of that fantastic hardware.
AOSP ROMs will come in time. This is a brand new phone (mine hasn't even arrived yet
) and there will surely be a Cyanogenmod release for it, at the very least.