The truth is, your new HDTV was not designed to look its best right out of the box. Two identical displays from the same factory (or even the same production line) can differ dramatically in sharpness, brightness, and color quality. TV manufacturers often build screens to fall somewhere within a prescribed range of design specifications to get them out the door and onto the showroom floor, so typically two versions of the same device will have slightly different specs. Dropping serious cash on a THX-certified 3D HDTV is as close as you'll get to having a well-calibrated set out of the box, but even that won't guarantee perfect results. For the best results, calibration is a necessity.
In a perfect world, every display would look the same. But even in an imperfect world, you can calibrate your HDTV to bring it in line with the standard display measurements that the game and filmmaking industries use, so you see images as the content creators intended. Uncalibrated displays make games especially garish: Improperly calibrated brightness, color, and contrast settings cause everything to appear oversaturated, and diminish the impact or intention of beautiful games. For example, the Uncharted games employ oversaturation to subtly inform players that they're in a dream sequence or a flashback. If your HDTV isn't calibrated correctly, you're missing out on details the game developer wanted you to see.
You could pay a professional to come out and calibrate your HDTV, but it's pretty easy (and significantly cheaper) to do it yourself. The PCWorld Labs team uses professional calibration tools from Sencore to make sure that each set that passes through for testing is calibrated correctly, but the combination of tools they use can be cost-prohibitive for most users.
Though professional calibration can cost hundreds of dollars, you can get 95% of the way to HDTV perfection with a do-it-yourself calibration disc. After calibrating each set in the PCWorld Labs, the staff verifies each calibration using a Digital Video Essentials Blu-ray disc, which costs around $20 and is also available as a standard DVD.
Personally, I recommend the Spears & Munsil High Definition Benchmark Blu-ray Edition, which is easy to use. I've had great results time after time on each TV I calibrate with this Blu-ray, and the various test patterns help you determine how all the arcane video settings in your TV's menus affect image quality.