You really need to set up only one thing, a Yahoo! ID. Doing that immediately gets you a number of services you can access through Yahoo! Mobile.
Along with doing that on a PC's browser, there are other services you can sign up for or customise. Consider getting a Flickr account. That involves a separate sign up. You can also add preferences and special options in News, Yahoo! Sports, Yahoo! Finance, Yahoo! Weather, and Yahoo! Movies. These are available to you just by having a Yahoo! ID.
Availability of some services depends on the device, carrier, and service plan you have. Some devices—for example, the Cingular Samsung Blackjack—accept downloads from Yahoo! Music. Consult your carrier.