[in progress] My first unmanaged Virtual Server .. what do I do first?

I finally bit the bullet and got myself an unmanaged VPS (Virtual Private Server). The main reason being that my current shared hosting account was just way to slow for certain web apps.
Don't get me wrong, shared hosting is a great cheap way to start off, but now, after nearly 7 years with my current shared hosting account, the limits of it are becoming a little tedious. I've decided to keep my current shared hosting account as a sort of 'slow' CDN (Content delivery network) or rather CDS (Content delivery server) for all my large file collections for the many sites I host there, as well as a server for websites that do not require the extra boost my VPS will bring (eg: static html sites).
So I will run the web-apps on the root domains (www.domain.com) and server the large files from the shared hosting server by configuring either a sub-domain there (cdn.domain.com) or a different domain name all together.

Also I wanted to learn a little more about server administration and linux, so having a live server (as opposed to a locally hosted vm server) will make it all the more exciting =)

Now after getting the reasons behind purchasing a VPS out of the way, I started looking for a VPS. Of course, I had certain requirements:

- It should be based in Europe (server as well as support)
- It should not be based in a country that may drastically change their internet laws
- It should be fast, powerful with a decent amount of space and traffic
- It should be cheap

The last 2 are of course mutually exclusive as the cheapest will NOT be the most powerful server out there, so I had to find a good middle ground depending on how much I wanted to spend.

Finding one that was all of the above isn't exactly easy, but if you do your research you'll find something suitable. Just make sure you don't get yourself hooked into any long term contracts.

Now I have my VPS login data and I'm ready to get started ... but what do I do first?

First I need to decide what exactly I want from my server!