If you're one of the lucky ones getting a new iPhone 4S, AppleInsider has posted a setup guide. The article walks you through the setup process, including screen shots. The process is different from how it worked in the past because with iOS 5 you no longer need to connect to your desktop computer and have the iTunes software installed. The article begins with an unboxing, then shows the steps of setup, and then walks you through the iCloud options.