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Going in for my first gig later this week.

It depends on the person, but for me starting the set list with the most complicated tune really helps. Some people like to ease into it. I suffer from anxiety disorder as well as schizophrenia, and am usually pretty out of sorts waiting for the show to start. Kicking in right away with complexity really helps because I can't think about anything and am immediately completely absorbed into the music. My point is, think about what first song would make the best situation for you to get things rolling, and see if you have input into the setlist.
 
Everything has been pretty well covered here plus a couple that I hadn't thought of. I can just add a couple of ideas.
*Practice/rehearse with the gear that you will be using as much as possible. That helps reduce the chance of a surprise failure during the gig and the chance that you will forget something that you need.
*Keep your equipment stages as if you have a gig the next day. Staged means you have a place for everything that you use and everything is in its place. If a gig comes up suddenly you will be less likely to forget something by packing at the last minute.
*Use a gear checklist and check it off before you drive off for the gig. Check it again after the gig when loading out. Things have a tendency to get lost or packed in someone else's bag in the confusion of a fast load out.
*I have found that if it is cold the bass tuning changes slightly after my hands warm up the strings. So I will slide my hands up and down the string length to warm them up before the final tuning. Only takes 10 seconds and usually helps you tune to where it will be while playing.

Good luck and have a blast!
 
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The gig is in quite a large venue, and for a first gig, it's a little overwhelming.

Any words of advice? Rookie mistakes? Etiquette?

Relax. I know, that 's easy to say. When I first gigged I was terrified of making a mistake, but hey, it's gonna happen, so don't beat yourself up when it does - always focus forward.

Also, during sound check don't be afraid to tell your sound man if you can't hear a particular band member. Going from rehearsal space to a stage can be a big change acoustic-wise, and that used to really throw me, so try to simulate your rehearsal experience as much as possible.

Above all, relax and enjoy!
 
Way way back when during my first gig I worried about the audience and immediately felt my hands tense/tighten up. As soon as that happened I began to lose concentration. Since then I’ve played thousands upon thousands of gigs. Some have been at stadium sized venues, but most had seating for a few hundred or so.

The funny thing is, unless there is something crazy happening in the crowd, I honestly never think of the people watching. There could be half a million in attendance and I wouldn’t know. My mind is TOTALLY focused on the music. I have one ear locked in on the drummer and the other ear is listening to the guitars. For me, at least, the lack of care about the audience allows me to play freely and without worry. This being said, I try very very hard to give the audience my best every time I take the stage.

We all have gone through the crucible of playing a first gig. As long as you know your parts and stay aware, just rely on the confidence you’ve built through practice and you should be fine.
 
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The gig is in quite a large venue, and for a first gig, it's a little overwhelming.

Any words of advice? Rookie mistakes? Etiquette?
Words of Advice
1. Have fun. You're there to entertain people and enjoy the experience yourself. Everyone enjoys the experience more if you, yourself, are having fun and people can tell you are enjoying it. Get lost in the music, the moments, and the crowd if you want to. It's all about fun.
2. Find the audio engineer or "sound guy/girl" and ask them if they need anything from you and/or how you can help make their life easier. Have the attitude from the first handshake that you are ready and willing to collaborate to make the show go smoothly. Be humble. They control basically everything, and can make or break the entire show.

Rookie Mistakes
1. Looking nervous
2. Being pretentious. Just don't.
3. Being over the top. Have fun, be a little theatrical, but also do it appropriately for the venue
4. Being competitive or worrying about what people think of you. F that. Do your thing, and let everyone else sort out their personal problems.
5. Pissing off the sound person. Just don't.
6. Getting drunk. Just don't.

Etiquette
1. Show up prepared both musically and technically (gear)
2. Be yourself, but try to dress in a manner that's consistent or appropriate for the gig/venue/audience
3. Be humble and nice to venue managers, sound engineers, other bands, and audience members
4. If other bands are playing, do your best to communicate with them and accommodate the setup for the evening. This can be really tricky, and you'll run into all kinds of problems, but do your best to handle the stress of it so that you don't burn any bridges or create drama.
 
You are heading down a road to perdition of being a penniless musician wretch :) Repent, it's never too late to repent :)

Seriously, just know your material totally fluently and then lock in with the drummer to create the feel. See the second line of my signature below from no less an authority than Beethoven.

Savour every minute of the event - you will never play a first gig again.
 
Know your songs inside and out, but still be ready for things to go differently. Showtime adrenalin may make your drummer play everything way too fast; your singer may drop the bridge in the wrong place; your guitarist may take an extra long solo. You get the idea. Just listen and follow where others are going - support their mistakes as well as you can and the band will still sound good.
 

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