Re: Just bought my first kit!....Now what?
First advice? Just practice moving around the kit. Mess with different stickings. Experiment with paradiddles between different limbs than take it further. Look at the list of forty rudiments try to know at least these ones.
http://www.vicfirth.com/education/rudiments.php
Single Stroke Roll
Double Stroke Roll (Both using drags and using full strokes)
Paradiddles, Paradiddlediddle.
Drags
Flams
This is actually a pretty short list compared to the forty rudiments. But these are pretty much the basics of the basic rudiments. Most of the other rudiments in the forty consist of these combined with others.
Don't just play them on the snare, learn to do them on bass, toms, across cymbals. Basically any possible match up possible between everything.
Don't neglect your left foot. Work that high hat, work that double bass, switch between the two. Make your left foot the smarter of the two.
For beginner limb independence take a single stroke roll at sixteenths and put accents every 3 notes as if you were playing triplets with them. On your feet alternate hitting it every eight note. Than do it backwards, doing the sixteenths on your feet and eights on your hands. This will hopefully begin to separate your hands from your feet. The most important thing though is to find something your limbs want to do together, and do it in a way they don't want to cooperate.
Limb independence is probably a rather high up there in my opinion for hardest thing because limbs tend to not be independent. I might practice something that makes it look like my limbs are all their own, but if I try something else they'll want to fall into each other. They want to work together. The important thing is to practice new things enough that your limbs are used to doing anything and everything.