Break in
I would use synthetic oil as soon as you can. On my rebuilt engine I started using it at 3000 miles.
On a new vehicle I would not change the oil until the recommended oil change interval -what ever it is( My wifes new VW is 5000, and our Volvo was 5000m, my truck was 7500.) I believe the mfrs use a blended breakin oil that may be different than what you could replace it with. I cant find the site I saw some of this information on, but I think it was VW who did some tests that showed that if the factory fill oil was removed prematurely increased oil consumption would result. Ill search for the info., if someone else has seen this post it please.
For those of you still changing your oil at 3000 miles (because the Jiffy Lubes and the Oil cos of the world have marketed it to you) I would check the "Oil" thread for a couple of real world examples.