I'm about to give up my iPod virginity to a 3gs.
This will be my first experience jailbreaking and I've done a lot of reading, but I'm still a bit nervous.
I expect to be getting my package from AT&T sometime this week.
I am pretty sure one of the first things I will want to do is jailbreak it.
What do I do first?
Will I have to call AT&T to activate it? Will I have to hook it to iTunes to back this stuff up? or will the jailbreak software do it for me?
I thought I would be using redsn0w but it sounds like people are saying purplera1n is more stable and easire to use. I don't need to unlock it since I'm with AT&T.
What else do I need to know to make this process as easy as possible for me?

i would first activate it with at&t then jailbreak using either purplera1n or redsn0w.

you wont need the unlock or the jailbreak activation (if you activate via jailbreak it won't connect to at&t, i did this once @_@)

redsn0w and purplera1n are really easy to use. you'll want to download one or the other then get the 3gs firmware. after that just run the app and follow the instructions.

Also, don't forget to get your iBSS and iBEC files so you can continue to jailbreak future firmwares.
1. signed iBSS from purplera1n website. (Geohot)
2. iBSS captured during Restore from DFU mode. (DevTeam)
3. iBEC captured during Restore from Recovery mode. (DevTeam)

There might be some overlap between Geohot and the DevTeam, but better to have all three than be sorry later. One difference is George's method contacts Apple's servers, if that's a concern to you.

There are good tutorials on iClarified and hackthatphone, plus good tips here. The DevTeam's and Geohot's blogs also contain some instructions.