Just got your Xperia Z Ultra and start looking on how to root, unlock your bootloader and do everything you can for start playing with your phone with a maximum of security? You are at the good place!!
First of all, install PC Companion, you just need to plug your phone on the PC and follow instructions on your phone and PC.
To make things clear, I didn't do any of those tools and link the threads where they come from, so if you want to thanks devs do it there. I tried all of them without any problem and I do this thread for help people who know nothing about Sony Android devices or simply want to find everything in one place. They are fully working, so if things go wrong while following explanations this is bad luck, you did something wrong and/or forgot to do something. Neither I nor the Devs can be kept responsible for what you are doing on your device.
How to enter Flashmod and Fastboot mod
See Post #2
Root and TA Backup
See Post #3
New version of Vroot, now with superuser in english
Tutorial updated with step by step root process and screenshots
Youtube tutorials added, thanks to hamdogg
Unlock bootloader and Install Recovery
See Post #4
Step by step + screenshots coming soon
Youtube tutorials for how to flash CMW added, thanks to hamdogg
Flash or update a firmware from another country
See Post #5
See Post #6