Hi, Sad to see no one else has helped;
if it is arriving unlocked, then, quite simply DON'T UPDATE in iTunes, it is quite likeley that when you plug it in you will be asked to update firmware, click no/never ask again.
while it is very tempting to update firmware, the way i look at the matter is:
you bourght an iPhone cos its amazing, how ever good firmware will make it, your iPhone wont get worse, it may just fall behind the new software... however old the software, its going to be the most amazing phone you have ever used.
if you wish you can install custom apps, personally i like mine to look as apple standard as possible, but there are some apps which can be installed by some free programs for both mac and pc, which will allow you to put things such as custom designs and msn etc.
remember, if you skrew everything up, you can generally do a restore, and if this fails, there will always be people willing to help.
if your iPhone arrives locked, head over to modmyifone.com for tutorials on unlocking, depending on the software on your phone already there will be different options available for you.
have fun, and if you havent ever used an iPhone before... it really is somthing very very special, i have been a user for 4 weeks, and with most gadgets the 'shine' wares off after a few days, but with this, every morning... i get that same fantastic 'wow' feeling
the basic rule; DON'T UPDATE THE SOFTWARE, you can look on forums to see it its safe to, but usally updates trash iPhones untill hackers break them again.
any more questions, do ask!