Apart from that tale of caution, I would say policies about behaviour, the way employees communicate with each other and external clients/suppliers, etc. are very important to make clear the first day. Much more important than where the best vending machines are and how to work the fax. Impressions are easy to make and hard to undo, and that person now represents your company and your team, so it's best they know what you expect in terms of tone and behaviour.
Buddies, which was a great suggestion from someone else, should also make sure they refrain from imparting any of the office gossip the first week - come on, is that what you want to teach them about what goes on? They're adults and can form their own impressions of people. Warnings about the faucet that sprays in the bathroom, however, will probably be appreciated :)
Job shadowing for a few days can also help add relevance to formal classroom training. Sometimes how to use software is hard to learn until the context is clear, and practical experience or observation is the best way to gain that.