My program sent out a "Psych Grad Student Survival Guide" a few weeks before school started. We actually did a lot of fun stuff the first couple of weeks, a few "hazing" of first-years by the advanced students at the local bars, etc. My advisor is very hands-off, so in terms of research stuff it was basically like "Hey, you're here, welcome, here's the equipment, here are the subjects, have a good time!" Well maybe not QUITE like that but there is not a lot of structure overall in my program so it required first-years to be largely self-starters in terms of figuring out classes to take, meetings/colloquia to attend, and projects to undertake in the lab. A little overwhelming, but exciting at the same time. It really drives home the point that going to grad school doesn't "put off" your career for five or six years, it STARTS your career right from the get-go.