Well, you've actually got several options and paths to take.
You can "just" root (i.e., with Z4root) which is pretty safe since it'll just install the su program, busybox, and the SuperUser app. This will allow you play with root-only apps (wi-fi tethering, drocap2/Shootme, Root Explorer, etc.). This is pretty-much your base-level, basic rooting and is pretty vanilla and safe.
Some other slightly more risky behavior with this root-only capability include build.prop editing, removing or freezing apps, etc. A little scary if you haven't adequately covered yourself with either being very careful, having made Nandroid backups, or having the proper .sbf files ready and available. I believe you could do some (slight) overclocking too, but now you are getting into things that are a little more risky.
The next step beyond this would be custom ROMs and themes, but these would require Koush's bootstap, ROM Manager, etc.
Since my DX is my day-to-day phone, I have not (yet) monkeyed with removing apps, overclocking, installing bootstap, ROM Manager, or installing custom ROMs or themes. There's lots of other great folks on this forum than can help guide you with specifics regarding these things that I continue to read and follow with great interest.
Cheers!