A while ago, the dept sent out an email asking for pieces of advice that you wish you had known when you started your first year. I sent them back this 10 item list, it was handed out to all incoming students. Recently I've added an eleventh item.
1. You can have a social life & be a grad student, just don't expect to sleep. You can sleep and be a grad student, just don't expect a social life. However if there is a paper due or a big project, you can be a grad student. You can't sleep or have a social life for about a week. Accept this.
2. Lock yourself in your office, you will be far more productive there than at home.
3. Remember how much time you spent doing work as an undergrad? That was a warmup.
4. Find a nice advisor who suits your personality and interests. Now accept that they are god, and you must work to keep god happy (you may need to give up social life and sleep at some points to keep god happy).
5. 725 isn't as bad as it sounds, it's WORSE (alternately you may be one of those strange people who actually enjoyed proofs, in which case some other course will be your undoing!).
6. If you have no idea what you want to do for research but have an advisor, they have lots of suggestions for short term projects. Go talk to them, never try to avoid them (you will bump into them everywhere).
7. Quals. Now in the real world if you had a run a marathon obstacle course you wouldn't expect to train like a mad person for a week and actually complete it, you'd need to begin training a bit farther in advance, quals are like a marathon obstacle course for your brain, and trust me, you're not in shape for it.
8. You are no longer one of the smart kids, you're average, but if you are determined and work hard your advisor may come to like you, and then you can be happy (even if you are still just average).
9. Be nice to the office staff, they are extremely helpful!
10. After your first quarter, there really is no "vacation". So don't burn yourself out because you don't have time to recover.
11. phdcomics.com - it's not just a funny comic strip.