The learning curve, or cliff as it has been satirized, is overwhelming and will seem to never end. I am not implying that I am a master of EVE, but please consider this a somewhat objective opinion from a non-jaded noob, for what it's worth. There are several popular truisms that exist and are restated in several different EVE guides. Things such as 'don't fly what you can't afford to lose' and the like. I won't restate them here. I will however give my impression of these, and try to fill in some of the gray area left between them.
Tail One--There is no WASD. Among the most difficult thing to adjust to when jumping into EVE is the fact that you do not control your entity, in this case a ship, using typical means. This can lead to massive confusion and a sense of being lost. Try to put into perspective the distances we deal with in EVE. If a solar system is 32 Astronomical Units (AU) across, and one AU is roughly 150 million kilometers, how long would it take your ship to fly from one end to the other without warping. If you're in a frigate going 400m / second the answer is something like 10,500 hours.
Tail Two--You must un-learn what you have learned. I would guess that a very large percentage of players entering New Eden have previous MMO experience. There is no defined path of progression. There is no invisible yet overbearing developer shuffling your piece along a board in a very constrained fashion so that your play experience, while possibly fun, is ultimately limited by it's own nature. EVE will give you a sense of freedom like no other, but your expectations may give you a feeling that there is nothing to do at times. Whenever you find yourself feeling this way, keep in mind it could be simply due to a lack of guidance from a master you never knew you had, and enjoy your freedom.
Tail Three--Don't rush to failure. EVE is at once appealing for the ability to improve your skills without even being logged in. This can also be damning for some players. Those that have been adapted to being spoon-fed what to do and where to do it will have a hard time with this. This is all a matter of how one perceives time, and the fact that EVE time is equal to 'RL' time. In other MMO's, the amount of time you actively spend developing your character determines the speed at which you reach your goal. In EVE, your goal may be dependent on a particular skill which has four or five days remaining on it. This is an overwhelming concept for some, and can lead to making drastic and costly mistakes or may increase the feeling that there is nothing to do. A new player may begin to question why they spend so much time looking at their ship from different angles while safely docked. EVE requires patience. You must learn to apply patience to every aspect of your play.
Tail Four--Time is money. Veteran MMO players will be dazzled by EVE's economics. The market is incredibly complicated, and entirely player driven. Many virtual economies have been ruined by currency flooding the market due to players spending their real world money on in-game currency. The obvious solution is to simply forbid players from doing this, but EVE has simply and ingeniously curtailed this by establishing real world value to their in game currency. This is accomplished by allowing players to pay for their play time with in-game currency. I would submit that the actual in-game currency of EVE is not ISK, but rather it is SP. Ideally ISK is converted to time which produces skill points, which allow you to develop more lucrative forms of making ISK. All of this is guesswork because I'm certainly not an economist, but I think it will improve your play experience if you realize that SP is the true currency, and everything else simply revolves around exchanging this currency.
Tail Five--The Fragile Id. We've seen it repeatedly in our fiction, and I think it is illustrated beautifully by EVE Online. The human psyche is simply too fragile to exist in extreme environments. Reference the learning curve above. The majority of the players above never made it to the top to be crucified by the experts. EVE is perhaps the most brutal game I've experienced. Don't take this to mean it is filled with violence and blood, because if that is what you seek then you will be disappointed. EVE is however a brilliant illustration of the brutality of human nature. Players fall all across the spectrum of behaviors, and questioning why another player just turned your ship into dust is a waste of time. You must accept that the only reason that matters is 'because I can'. There are monsters, and they are out to get you.
Tail Six--Mechanical Wonder. If you haven't yet been overwhelmed by possibilities, you will surely be overwhelmed by game mechanics. It is likely that the new player will be completely and utterly confused by the notion that statistics are not inherent to their character. Your character's skills improve your module's statistics, but not to the point that there is an 'I win' button. I have been working to improve my play for nearly six months. I have spent time in game earning money to buy better stuff. I have spent time training my pilot's skills to levels IV and V. The most valuable use of my time thus far has been spent reading guides and resources and other player's blogs learning what I can about the game mechanics. At least, if you are offended by low-intelligence people, you won't have a hard time socializing in EVE Online.
Tail Seven--We all Tank down here Georgie. Break yourself out of the molds. Tank, Healer, DPS...prisons. These terms have their places in EVE, but not in the sense that new players may think. Every player must be their own tank. In other games, the play basically revolves around damage, and the three things you can do with it. You are either taking damage, dealing damage, or healing damage. These are not mutually exclusive in EVE, and if your character has skills to fulfill one role, you will also be able fulfill another. I think this ultimately leads to a superbly balanced game, in terms of PVE and PVP. The game is not divided into PVE and PVP like others, and although these terms continue to be used in EVE, I honestly think the game is beyond both of them.
Tail Eight--Preparation. I can come home from work, pop on the Wii and have some fun with Mario Bros. Not a whole lot goes into it, and I can play and enjoy the game while completely zoned out. EVE, on the other hand is a high-maintenance, cruel and unforgiving mistress. I've found myself becoming more and more addicted to combat. This is certainly not helping my wallet, but it is hard to restrain myself from the hunt long enough to accomplish menial tasks that fund and procure the equipment I am continually losing. EVE Online might be the most difficult for a new player to enjoy because if you turn it on and zone out, you will become quickly frustrated with your losses.
Tail Nine--Fog of War. The illustration above is very accurate, but it is missing the layers of fog and haze as you ascend the curve, as you would see climbing to the top of a mountain. This fog perfectly keeps you from orienting yourself on the curve. Although you may think you have reached the top, you must always be ready for a learning experience in the form of waking up in a cloning vat.
Learn your lessons well, and if you come to a point where you begin to doubt your abilities, simply count your tails.