First off, set up compiz fusion.  That will give you cool desktop effects that everyone's talking about.  Make your desktop into a cube that can be rotated to show 4 or more different desktops.  And then learn how to get different wallpapers on each face of the cube.

Do you like the famous dock on Mac OS X? Then go ahead and installed the avant Windows navigator.  Now you can have that nifty dock thingy just like your Macintosh friends.

Don't forget media plug-ins.  Installing the Gstreamer plug-ins will allow you to play back all kinds of media on your Linux box.  This provides you with all kinds of different codecs.

The Ubuntu Restricted Extras will provide a lot of other plug-ins and add-ons for Firefox.  This also includes Java, the flash player, and a lot of other things.  Just install this.

Fonts on Linux machines are traditionally ugly.  That's why you should install the MS core fonts.  These are proprietary fonts from Microsoft which can be installed on your Linux box.

You can read about these apps and more at 20 Things to do after installing Ubuntu Linux.