As far as I'm concerned, living alone is awesome, but you need to take pains to establish a social network so you're not spending *all* of your time by yourself. That can get depressing quickly even if you're someone who genuinely enjoys spending time alone.
The *best* activities are regularly scheduled ones so they're not interfering with your school work, like sports or band practice.
Moving is probably the hardest part, it's hard to remember all you need stuff-wise to establish your own household. If you're living in a dorm this can be different because some of it is provided for you, but here's a good general list:
Bed (frame and mattress), dresser, nightstand, desk, chair, lamp, alarm clock, shower curtain (depends on whether you have your own bathroom), bath mat, toiletries carrier, pillow, sheets and pillowcase, warm blanket, area rug, garbage can, cleaning supplies, vacuum cleaner, laundry basket, clothes hangers, dishes, glasses, silverware, cooking pans, microwave
MAKE SURE YOU HAVE A GOOD WINTER COAT, GLOVES, HAT, SCARF, A WATERPROOF SLICKER OR RAINCOAT, AND AN UMBRELLA.
Make sure you know how to do laundry and cook before you move out. It's especially beneficial to find a few friends you can swap meals with, because cooking for one person is nearly as expensive as cooking for several--you save money if you buy bulk food and cook rather than eating single-serving stuff. If you can't find meal-swappers, GET TUPPERWARE and learn how to cook big batches of stuff like chili. I'd also advise you to learn to like eating (and it can be done), stuff you can get dirt cheap like bags of dried beans, lentils, peas, and rice. Avoid pasta and ramen--if you're a guy, you'll start losing muscle mass, and if you're a woman, you'll swell up like a balloon. Eat rice (brown rice for preference) and beans with the cheapest meat you can get.
If you can con your parents into getting you starting groceries, make them get you SPICES AND SEASONINGS first--salt, pepper, garlic, dried onions, hot sauce, cinnamon. These are expensive to buy, but they last a long time and can make boring food much more palatable.
If your meals are provided as part of your tuition, they will be gobs of starch with very little else, which means you have to learn how to approach the buffet with an eye toward getting protein, fat, and vitamins while avoiding as much starch/bread as humanly possible.
In particular, know in advance whether you'll have access to a kitchen. If you don't, a microwave and/or a hot plate are ESSENTIAL. It is unspeakably annoying to get home after your shift/class/late night study session and discover that you can't just heat up a can of soup. Granted, a LOT of the stuff surrounding the college is likely to be open 24/7, but not all of it, and you will NOT want to brave frozen streets in a snowstorm at two in the morning to get a sandwich.
Oh, and last piece of advice: FIGURE OUT HOW YOU CAN DO WITHOUT A CAR AND THEN DO IT. It is a HUGE unnecessary expense while you're in college and it is NOT worth it. Even if you don't have car payments you still have to pay for gas, insurance, repairs, and parking. Get a bicycle and use the bus system, because once you get the ring in your nose you are screwed. If you already have a car, sell it. I'm serious about this. Refuse to live anywhere that isn't within easy walking distance of public transportation no matter HOW tempting it is. You will probably spend several years living on the edge of financial ruin and unless you are exceptionally money wise the car WILL put you into the red.
Oh, and remember that "easy walking distance" still needs to apply when it's pouring or 20 below.