I’ve found it surprisingly easy to get started running OpenSim. Here are some good guides to going beyond just starting a sim.
http://gwala.net/blog/2008/08/resources-for-running-your-own-opensim/
A good collection of resources.
How to get your own OpenSim hosting for 15USD a month.
http://opensimuser.wordpress.com/2008/07/16/opensim-mysql-install-guide/
How to use OpenSim with MySQL.