Krystal Higgins has a great post up about first time user experiences. Check it out here:
http://www.kryshiggins.com/patterns-for-new-user-experiences/
This is a great illustrated roundup of key patterns (and anti-patterns) of a variety of first run approaches in use. There are a lot of details and interesting observations about the pros and cons of the different approaches but one thing I find particularly useful is the naming of these things – for example, I had no idea that the semi-transparent overlay with a handwriting font and sketchy arrows was referred to as “Coachmarks”. As our field of UX/IxD grows and matures it’s great to see these things standardized and labeled.