So you bought a guitar (or bass, or drum kit). Now what? Back in my day, there were several popular ways to learn how to play. You could take lessons, which was probably the quickest way to get to basic competence, but seemed short on creativity and punk-rock DIY spirit. You could play along to CDs by your favorite bands, which was slow, error-prone, and frustrating, but balanced by occasional moments of "a ha" enlightenment. (This is how I did it, playing along to Led Zeppelin, which were the only CDs I had in my possession after a move.) Videos were more helpful because you could see where fingers were placed--I know one young guitarist who watched Stevie Ray Vaughn videos until he could ape every move, and actually ended up becoming an excellent guitarist along the way.
The last method informs the spirit behind Show Me How To Play, based in Brighton, England. Only SMHTP has taken advantage of modern technology to let you view closeups of an entire band playing their instruments at once then mute or solo each track, slow it down to learn particularly tricky parts, listen to a metronome behind the full track, and so on. If you want to try it out, you'll have to register, download the player (PC or Mac), then download the one free song they offer, Nirvana's "Smells Like Teen Spirit." Additional songs cover artists like U2, Radiohead, and Lou Reed (including the killer combo of electric and acoustic bass from "Walk on the Wild Side"), and cost 0.99 pounds apiece. SMHTP won't turn you into a master overnight, but if you're just starting a new instrument, it could be a helpful tool to get you pointed in the right direction.
One caveat: I had all sorts of trouble getting the player application to work under Windows Vista. The problems mostly went away when I turned User Account Control off, but be prepared to fiddle around a bit if you're using Vista. (Apple fans insert smug rejoinder here.)