So you just bought a new grill and are anxious to get it home and cook some thick, juicy steaks for you, boneless, skinless BBQ chicken for your wife, veggies for your vegetarian brother-in-law, and hot dogs for the kids.
The first thing you have to do is get it home safely. (I laughed and laughed when I heard this story from a guy I work with). Apparently there is a vacant lot on the corner right next to the local WalMart. They call this lot the Grill Eater Lot. There are several smashed up grills that didn't make the corner as their owners took the corner too fast and lost the grill out of the back of their pickup trucks (I totally need to drive over there and get a picture). So - a tip for the new grill owner - tie it down before you leave the store :-).
Get it home safely, unload it, plug in a new (full) tank of propane and lets get it ready to cook - right?
Not so fast. You may want to take the time to season your grill before putting it to use. Barbecue grills are like dutch ovens - they need a little seasoning before you use them the first time and then they get better and better the more you use them. This is because they smoke the juices from the food you cook gets vaporized by the heat and covers the inside of the grill to produce the signature "grill" taste. The more you use your grill, the better things taste.
The easiest way to season your new grill is to just heat it up on high heat (>400 degrees) and let 'er cook for ~30-45 mins. This will burn all the solvents and impurities off of the heating elements, grill, etc. But before you fire it up, take the time to completely wash off the grill with dish soap and brush lard, shortening or vegetable oil on the grill elements to start that seasoning process.
Then turn it on and see how hot it will get. Make sure that you move it away from things that will burn as it will get pretty warm during this process. Check it often while it is doing the initial burn-in. After about 45 mins, let it cool down a bit, wipe things down to remove any lingering residue and you should be good to go.
This will also work to season a grill that has been cleaned or before the first run of the season (got to clean out the cobwebs somehow).