1. Root your phone
(google z4root or superoneclick)
why: gives you a deeper access to your phone; allows unbranding as well as installing some useful applications that require root such as titanium backup or adfree. it is also needed for flashing the custom recovery.
2. Flash custom recovery
(look for a sticky of it in this section)
why: allows you to backup and restore your system files. serves as plan b in case you mess up. needed for flashing roms.
3. Flash a ROM
a) AmberHome - 2.2, first ROM
b) Megatron - 2.2, performance-oriented ROM
c) Prime - 2.2.1, stability-oriented ROM
d) Void - 2.2, customizable ROM (modules)
why: faster and snappier than your stock ROM, might also have out of the box useful features for some like apps2sd.
4. Learn about: KDZ, Overclock, ADB, etc.
(navigate in this section)