Set up a Mac
The Mac setup process is very similar to that of an iPad, iPhone, or iPod: You use the iCloud settings pane in System Preferences. To add or create an iCloud account, your computer needs to be running OS X 10.7.5; any earlier, and you won't have that pane. (Thomas Brand's Egg Freckles blog has a few suggestions for using parts of iCloud on older systems.)
As on an iOS device, once you've set up iCloud on your Mac, it syncs your email (if you have set that up), contacts, calendars, and so on. All options are on by default except for 'Back to My Mac', which you must turn on manually; again, if you want iCloud not to sync specific data, just click the respective toggle to turn it off.
Unlike with iOS devices, you can't create iCloud backups of your Mac--in part because said backups would likely eat up all your iCloud storage space, given the size of most Mac hard drives. But your Mac does offer support for iCloud's data sync, allowing iCloud-compatible programs to store their documents and data there.
Set up a PC
In contrast to iOS devices and Macs, a Windows PC doesn't come with any kind of iCloud control panel preinstalled; you first have to download it from Apple's website. And, as noted above, your PC is also the only device you can't use to create an iCloud account, so you'll need to have first made one on your Mac or iOS device.
When you sign in to the control panel for the first time, it asks whether you want to send diagnostic and usage information to Apple; accepting this arrangement allows the company to automatically (and anonymously) collect data on any crashes you might have related to iCloud, and to send that data back to its central servers to prevent similar crashes from happening in the future.
Your sync options for iCloud on the PC are limited in comparison to those on iOS devices and the Mac: You can sync email (if you've created an iCloud.com account); contacts, calendars, and tasks in Outlook; Web browser bookmarks; and your Photo Stream. Unfortunately, the Windows operating system doesn't support syncing reminders, notes, iCloud data, or PC versions of Back to My Mac or Find My Mac.
If you need to make a change to your reminders and notes (or if you just want to see them), you can still access them online via iCloud.com.
Set up an Apple TV
Although your Apple TV doesn't have access to iCloud's calendars, reminders, notes, or mail, you can still access iCloud features such as Photo Stream and iTunes Match when you log in with the Apple ID tied to your iCloud account. To do so, go to the Settings screen of your Apple TV, click iTunes Store, and enter your account information.