I recevied mine today as well. The setup was quite simple - it's not plug and play, but it's really easy. After plugging it in and selecting the input on the TV, it directs you to google.com/chromecast/setup to download the configuration app (from your PC). After it installs, it asks for your WiFi information (select the network and enter the password). That's pretty much it, the rest is automatic.
(scheid, I think to change your configured WiFi network you'll have to run the Chromecast app on your PC that you downloaded in the initial set up.)
The list of apps that Chromecast supports has been covered in all the reviews I've read: Netflix, YouTube, Google Play Music, Google Play Movies and Chrome so it shouldn't be a surprise about what's currently supported. More will be added, no doubt. "Casting" a tab from Chrome works well, but there are limitations. Certain plugins using an older plugin architecture will not work, including Silverlight and anything with Java. I didn't try Amazon Instant Video, but it should work via tabcasting if you force it to use Flash instead of Silverlight.
The way this thing works is the controlling device sends the information to load to the Chromecast which then loads a lightweight webpage which loads the video with an HTML5 video tag, JavaScript and CSS. It then listens for commands like pause or seek. It doesn't just load the URL directly, it uses this webpage wrapper.
As others mentioned, the Chromecast streams the content itself so it needs a connection to a WiFi network.
For $11, (I got a $24 Netflix credit - if you were one of the early adopters who got the free Netflix it works even for current subscribers) this is pretty much a no-brainer. It will be interesting to see how app developers adopt this. The thing I'd most like to see is support for pictures and videos from mobile devices since not all devices support HDMI out.
