How to configure postgresql for the first time?

The other answers were not completely satisfying to me. Here's what worked for postgresql-9.1 on Xubuntu 12.04.1 LTS.

1. Connect to the default database with user postgres:

   sudo -u postgres psql template1

2. Set the password for user postgres, then exit psql (Ctrl-D):

   ALTER USER postgres with encrypted password 'xxxxxxx';

3. Edit the pg_hba.conf file:

   sudo vim /etc/postgresql/9.1/main/pg_hba.conf

   and change "peer" to "md5" on the line concerning postgres:

   local      all     postgres     peer md5

   To know what version of postgresql you are running, look for the version folder under /etc/postgresql. Also, you can use Nano or other editor instead of VIM.

4. Restart the database :

   sudo /etc/init.d/postgresql restart

   (Here you can check if it worked with psql -U postgres).

5. Create a user having the same name as you (to find it, you can type whoami):

   sudo createuser -U postgres -d -e -E -l -P -r -s <my_name>

   The options tell postgresql to create a user that can login, create databases, create new roles, is a superuser, and will have an encrypted password. The really important ones are -P -E, so that you're asked to type the password that will be encrypted, and -d so that you can do a createdb.

   Beware of passwords: it will first ask you twice the new password (for the new user), repeated, and then once the postgres password (the one specified on step 2).

6. Again, edit the pg_hba.conf file (see step 3 above), and change "peer" to "md5" on the line concerning "all" other users:

   local      all     all     peer md5

7. Restart (like in step 4), and check that you can login without -U postgres:

   psql template1

   Note that if you do a mere psql, it will fail since it will try to connect you to a default database having the same name as you (i.e. whoami). template1 is the admin database that is here from the start.

8. Now createdb <dbname> should work.

Under Linux PostgresQL is usually configured to allow the root user to login as the postgres superuser postgres from the shell (console or ssh).

$ psql -U postgres

Then you would just create a new database as usual:

CREATE ROLE myuser LOGIN password 'secret';
CREATE DATABASE mydatabase ENCODING 'UTF8' OWNER myuser;

This should work without touching pg_hba.conf. If you want to be able to do this using some GUI tool over the network - then you would need to mess with pg_hba.conf.

There are two methods you can use. Both require creating a user and a database.

1. Using createuser and createdb,

   $ sudo -u postgres createuser --superuser $USER
   $ createdb mydatabase
   $ psql -d mydatabase
   

2. Using the SQL administration commands, and connecting with a password over TCP

   $ sudo -u postgres psql postgres
   

   And, then in the psql shell

   CREATE ROLE myuser LOGIN PASSWORD 'mypass';
   CREATE DATABASE mydatabase WITH OWNER = myuser;
   

   Then you can login,

   $ psql -h localhost -d mydatabase -U myuser -p <port>
   

   If you don't know the port, you can always get it by running the following, as the postgres user,

   SHOW port;
   

   Or,

   $ grep "port =" /etc/postgresql/*/main/postgresql.conf
   

Sidenote: the postgres user

I suggest NOT modifying the postgres user.

1. It's normally locked from the OS. No one is supposed to "log in" to the operating system as postgres. You're supposed to have root to get to authenticate as postgres.
2. It's normally not password protected and delegates to the host operating system. This is a good thing. This normally means in order to log in as postgres which is the PostgreSQL equivalent of SQL Server's SA, you have to have write-access to the underlying data files. And, that means that you could normally wreck havoc anyway.
3. By keeping this disabled, you remove the risk of a brute force attack through a named super-user. Concealing and obscuring the name of the superuser has advantages.