The next thing you need to decide when activating your iPhone is whether you want to turn on Location Services or not. Location Services are the iPhone's GPS features, the features that allow you to get driving directions, find movies and restaurants nearby, and other things that depend on knowing your location.
Some people may not want to turn this on, but I recommend it. Not having it on will remove a lot of useful functionality from your iPhone. If you have concerns about it, though, check out this article on privacy settings related to Location Services.
Tap on your choice and then tap Next in the top right corner to proceed.