I got myself a RaspBerry Pi and did one mistake: I just started it to see if it works. I did not have an SD card in it and I expected it to show
No bootable medium found
Or something similar. Beware! The Pi will not even start without a bootable SD card in it. Also an SD card that is not bootable does not help. Do not send it back, create a bootable SD card and boot from it.
http://www.raspberrypi.org/quick-start-guide is incomplete, it does not tell you how to dump your file to SD card, here is how I tried:
dd if=2012-12-16-wheezy-raspbian.img of=/dev/sdc
This worked, the OS came up.