Slic3r set up
Slic3r is currently the easiest to use stl slicing program, and produces excellent results. There are other options, such as SFACT and Skeinforge.
Helpful Note for upgraders from Andy H: It's worth starting again with the settings with each new Slic3r release. It seems Slicer, on occasion, gets confused with old settings. Delete your old settings, or run the print settings wizard, to start afresh. It took me ages to fix a bridging problem with 0.9.2; old settings from 0.8.x seemed to upset it.
From standard, you'll want to change Print settings tab; layer height = 0.3, Printer and filament tab; Nozzle diameter 0.4mm, Filament diameter (measure at various points, usually around 2.85), all temperatures = 0 (easier to set these in Pronterface, no annoying pause), set your speeds a little lower for smaller objects, eg perimeters 40mm/s, infill 25mm/s, Travel 50mm/s then turn them up if all okay. That should help get you going.
DON'T CHEAT THE FIXED/MEASUREABLE NUMBERS! eg nozzle size. You store up problems for yourself! If it's not printing properly, you need to isolate the real problem, not try to paper over the cracks.
Print Settings tab
Transform These setting are self-explanatory, and are for editing the stl to fit onto your printer, and producing multiple copies. Generally can be left as standard
Accuracy Set the layer height to your preferred height, generally 0.1mm less than your nozzle size, ie 0.3mm for 0.4mm nozzle, 0.4 for 0.5mm nozzle. If you are printing really small layer heights, eg. 0.1mm layers, you can set the 'First layer height ratio' to, say, 3, which will produce a model whose first layer is 0.3mm followed by 0.1mm layers. This is very useful as it you don't have to level the bed to extreme accuracy! I have never found any particular reason to change the 'Infill evey N layer' setting, leave as 1.
Skirt Usually used to get the extruder extruding, and check that the first layer is going to fit on the printer bed. However, doesn't check that higher up layers fit, as it only puts a perimeter around the first layer. Can be used to help stop corners of objects lifting, with this tip from BusError: use skirt distance = 0.2, skirt count = 5 (or more)... the skirt barely sticks to the outside, but just enough to help
Print settings These settings set the solidity of your printed object. 3 perimeters and 3 solid layers generally works well, and fill density can be played around with to produce stronger or lighter prints. However, sometimes it's worth playing around with the perimeter and fill settings. For pulleys, I tend to do 1 perimeter with 1 (100%) Fill density, as it makes the object stronger by filling into the detail. If you use more than one perimeter, you can get a gap between inner and outer perimeter if there is no space for fill, which will cause it to be weaker. You can use other fill patterns, but they tend to increase slicing time without much obvious benefit.
Retraction A very useful set of settings. Retraction will stop strings of filament between parts, aka ooze. Each time the nozzle moves, it pulls back the filament, and then when it reaches the next part to print, winds forward. This makes parts much tidier, and generally needing much less post-processing. Generally can be left as standard, but if you are still having oozing problems, increase the retract. You may want to couple this with a reduction in nozzle temperature. Lift is not directly related to retract, but can be useful. It lifts the nozzle when it moves between printing areas. If you have a large number of vulnerable towers in your print, perhaps that are lifting up (overhangs are susceptible to this), the nozzle can knock the print as it moves and may detach the part. Usually set Lift to the layer height.
At least two people on #tvrrug IRC have independently hit on 2 mm of retraction at 35 mm/s for their retraction settings.
You'll need to enable cooling to improve your print quality, especially for small parts. It's good to have it on most of the time. You will need a fan, and directing the fan flow with a fan duct improves the printing consistency further.
Fan There are plenty of fan settings here. Fan minimum speed should be set above 50%, as the fans tend to stall below this amount, and barely produce any airflow at 50% anyway. Slic3r should increase the speed when bridging and when layers are too quick to print - ie not much on a layer. The standard settings should generally be okay.
Layer time Even if you don't have a fan, it's worth enabling cooling for this setting. It will slow down layers to allow it to cool a little before the next layer goes on top.
Printer and Filament tab
An important page of settings!
Other speed settings
Start/End GCODE tab
Allows you to add notes to your configuration. Useful if you have lots of saved configurations.