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Once you complete Orientation Island and teleport onto the main grid, you'll spend some time looking around and then you'll want to go places.
I was really frustrated my first few days in the game because I was mostly exploring the mainland without a plan. I would walk or fly among hundreds of casinos, empty houses, or hodge-podge land and buildings on the mainland. It was like being lost in the worst zoning nightmare ever, and rarely did I find anything to do activity wise or explore. And much of the vast space was devoid of other people... where were the other 15,000 avatars that were supposed to be online with me?
I tried the "Popular Places" tab in the Search window and found them quite crowded (which means sim lag so bad that it is really hard to even get your avatar to walk across the room), and many people in those places weren't very friendly (they were probably mostly newbies like me with no idea what to do or what SL etiquette was). With my newbie walking skills, I had a hard time getting around without bumping into people, which was akward. I talked to a few folks, but didn't know what to say and some avatars just ignored me.
I was about to quit SL when I found two places that hooked me. There are hundreds of high quality, fun and rich-content places with great, helpful people. And hundreds more places with cool things to see and do. And hundreds more with specific action from battles to games to movies.
So, if you find yourself flying around saying "I want to find something cool!", try these places first. Then, check out the Touring blog entries on this site for many more cool places. Enjoy!