How To Set Up iCloud - by Apple.
Apple - iCloud - Learn how to set up iCloud on all your devices.
I know that iCloud is perhaps the most confusing part of iOS 5, and with all the users trying to use it at once, the servers will likely slow down just a bit. So, I noticed this hadn't been posted yet, but Apple published this How-To that may help you all get started.
Follow this link for those of you who are having trouble setting up iCloud. And try to keep this thread up so there isn't a flood of threads on this same subject.