Well it depends on when this happens really. If it happened today, then I'd probably have to look into finding a way to travel somewhere south, since the winters where I live now are kinda bad, and the only electricity comes from coal powered plants. So...yeah, power would probably go out on day one, which means winter will suck without heat.
So, probably, gather supplies, starting with the necessary stuff, like food, water, medical supplies, and things of that sort. Then likely hit up spots like walmart, best buy, and gamestop to stock up on entertainment, so I'll have something to take my mind off the loneliness. Raid the nearby Amazon warehouse to collect every movie I always wanted to watch or book I've wanted to read, and whatever else catches my eye. Head to different car dealerships and try to find a huge decked out RV, then stock that with everything. Then I'd probably try to track down something like a Real Doll, so when I do go crazy, at least the thing I imagine talking to me is vaguely human like.
After that, eh, probably head west towards Las Vegas or somewhere around there. Figure that the casinos run off of the Hoover Dam, which should be able to run itself and keep pumping electricity for at least awhile, plus I imagine the higher class casinos would have plenty of backup generators in place, so I'll be able to keep gaming on for a bit.
Plus, you know, it's the desert, so I imagine that winter won't be a big deal, plus I never really hear of any natural disasters threatening the area around there, so, no worries about tornado's or hurricanes like I'd have here, or earthquakes really. No, ideally, I think water would be my only concern, but there should be enough places around for me to raid for the bottled stuff that I should be alright.
After all that, I dunno. Learn guitar finally, really learn harmonica, learn piano, watch all those movies I always meant to, get guns, shoot stuff, tear up the desert in hummers and atv's and whatever else tickles my fancy. Raid the nearest army base and play with the really big explosives and tanks and whatnot. Wait until I start getting bored, then head to NORAD in the summer and start launching nukes at places, maybe spell out "Welcome to Earth" across Europe or Asia in giant craters. And before anybody says anything about that, or ask why not do it to Canada or America instead, well, it's because I can potentially drive to anywhere on the North or South American continent, whereas Europe and Asia and...well basically the rest of the world not connected to any road I have access to, well, those places are lost to me.
Seriously.
Sure, I could learn to fly a jet, but landing that thing is a whole different matter, and even finding an airport to land in could be problematic, not to mention that if it's night when I arrive then I'll have to deal with landing in a dark and unlit place, most likely. So...yeah, jets are out, which leaves ships. I don't know how to sail a ship, I know I could learn, but even then I'm taking risks on being lost or stranded at sea. Plus most ships require an entire crew to move, so if I take anything larger than a sailboat, well, it's probably breaking down in the middle of the ocean.
...So, yeah, going to lament never getting to visit Europe.
Oh, and last, but certainly not least, I will pee on and off of so many friggin' things. Once I have built up a nice base of operations in Vegas, I will travel the world (that I can comfortably access) just peeing on every famous landmark and site, and probably on quite a bit of art too, though with that I'll stick mostly to the statues since it'd kinda ruin the paintings.