It is usually one of the first things I do when I get a new game - if its something straightforward like an FPS without too many fancy special abilities, I just go in right away to the options before starting to make sure everything is to my liking.
If the game is more complex, with a bunch of mechanics that require me to push a bunch of different buttons then I play for a bit to get a feel for it, and then almost invariably change one or two things.
It's not that I'm some sort of MLG pro, just that if I have to press G for something, it means that F, E, tab, C, Q, R, 1-4 must be already taken, since its easier for me to hit those. Once I set a control scheme though I'm usually pretty good at staying with that for a particular game and not mixing it up with other similar games I may be playing.
Also, if your game doesn't have key rebindings on the PC... Its the current year, etc.
PS that's a good question though, looking forward to see the rest of the answers, already an interesting mix of play styles here.