Setting up is fairly quick. There is only 1 cable in the box, the AC cable. :)
The 20" looks small in stores, especially when compared to the 24". However, it's pretty big on my desk.
First sweet impression is the smooth aluminum. Apple does know how to design this beauty. The aluminum and black frame + black Apple logo really makes the iMac look professional.
When I turned it on, I found the glossy screen to be very bright, too bright for my taste. All my previous desktop LCD monitors are not glossy. I ended up reducing the brightness to the lowest level. Yup, the lowest level, and it is still pretty bright. The glossy LCD doesn't seem to have a very wide viewing angle.
One annoying thing I find is the lack of USB ports. Most recent PC desktops have at least 4+ USB ports on the back and one or two USB ports on the front. The iMac only have 3 USB ports on the back (one which is automatically used for the keyboard, leaving only 2 free left). The wired keyboard has 2 USB ports on its side, but the location prevents anything other than a USB cable or those super tiny USB key to be connected to them. I find this to be annoying. Jobs compared the iMac with a cable cluttered Dell PC during the aluminum iMac announcement. Well, the cable clutter is still here, considering the iMac is non-expandable. Adding storage means external drives, which means extra cables and AC adaptors. A USB hub is definitely a must, especially if you have many USB devices like iPods and digicams, thus more cable clutter. Then there's the ethernet and audio cable. The location of the USB ports on the back is not really convenient. I hope the next iMac revision will have more USB ports, preferably on the iMac's sides, and maybe add an SD card slot too.
Transferring my stuff from my Macbook is pretty easy. For calendar, email, and address book, I simply used my trial of .Mac sync. For my iTunes music, I simply copy the iTunes folder from my Macbook to an external drive, and then to the iMac. I use the same username so everything came out as if nothing has happened. Same thing with iPhoto. iPhoto 08 simply convert my iPhoto 06 library into a single file. Setting Time Machine cannot be easier. I use a Firewire external hard-drive. First run takes quite a while since Time Machine is copying the whole hard drive.
Setting up the iMac is not as quick as Jobs advertised (5 to 10 minutes), more like at least 15 to 30 minutes, including downloading and installing all the latest patches, setting up the firewall and other preferences, etc. At least Apple didn't pre-install the Office and iWorks trial software anymore. Still better than a store bought windows PC where you will waste time uninstalling crap and installing firewall, anti-virus, anti spyware software, etc. The cable clutter is not going away, unless you're going wireless with bluetooth and wifi.
The move to Penryn really makes the new iMacs cooler. I use a widget called iStat nano to monitor various temperatures on the iMac, and it never gets as hot as my Mac mini, and is definitely way cooler than my Macbook. Of course, comparing a desktop with a notebook is not really fair, but my Merom based Macbook can reach high temperatures fairly quickly under normal use.
A lot of people that only use Windows always complain about Macs being too expensive. If you compare spec per spec, Macs are priced quite competitively, considering all Macs come with wifi, bluetooth, Firewire, and gigabit ethernet, things that are not usually found on a typical windows PC. However, the difference is that you cannot configure Macs to be cheaper than what Apple already set for the baseline config. If you configure a Dell, you can configure it to cost as low as couple hundred dollars to as high as couple thousand of dollars, even on the same model. Not with Macs, you can only go up, not down. For example, you cannot configure the 20" iMac to be cheaper than $1199. Also, certain configs can only be obtained on the next more expensive model. For example, you cannot get the 20" iMac with the new GeForce 8800GS video card. For that, you have to spend more getting the 24". If you're looking for the cheapest barebone computer, or a computer that you want to expand later (without spending a lot of dough on Mac Pros), Macs are not the choice. However, if you are willing to spend enough to get a complete PC, Macs are definitely something to look at. The OS experience is just better than Windows.