Q:

"You have gained power. Here's how to use it." kind of message

Right now, crossing one of the magical rep borders happens more or less unnoticed. People just gain the particular powers. Now, of course they have eagerly been awaiting this moment, and want to start using their new powers instantly.
However, this leads to people---usually with good intentions---doing stuff that is actually discouraged. The most notable case is users who passed the 500 boundary starting to tag questions as "not-programming-related", "belongs-on-serverfault", or the like.
They do this because they can't close yet, but want to do what they can to get the question noticed for 3k-rep users to close. They're most likely not clear that this is unwanted behavior. I'm not claiming I haven't fallen into this myself when I passed 500.
Another example is closing. I often see question being voted to close for an obviously unfitting reason. I assume that this is often done by recent 3k-gainers, who are just happy to have found a question that they might use their closing powers upon, but are just a little too eager.
I propose a pop-up (like the "You've earned a new badge" one) saying something like "You have earned the power to retag questions. Please read our retagging guidelines [link] for a short introduction".
This probably holds for the 500 (retagging), 2000 (editing), 3000 (closing) and 10.000 (deleting / mod) boundaries.

A:

I think that's an excellent suggestion. In addition, if we have pages that explain the pitfalls of those powers, it would also be useful to link to those pages from the FAQ, where it lists the powers and the rep points needed for them.
I certainly want to use whatever new powers I gain wisely, and I would be happy to find a page that explains how the community feels those powers are best used. 

A:

This is now fully deployed on all sites.
There are 2 types of notifications you can get: 
A batch notification that lets you know you got a bunch of new privileges, that takes you to https://meta.stackoverflow.com/privileges
If you only gained one new privilege you will be directed to the actual privilege page. 
All privilege wikis are per site wikis, so they may look slightly different depending on the site you are on. 
Blog post officially announcing feature:
http://blog.stackoverflow.com/2010/10/membership-has-its-privileges/

A:

I really like this idea. Have the banner drop with, "You've just earned new privileges! Check the FAQ for more!" That'd be awesome.
I have one addition: When the banner shows, it plays the sound from Monty Python and the Holy Grail: "And there was much rejoicing. (Yay.)"

