Here’s a few links to get you started with the General Purpose I/O on the Raspberry Pi, so you can start doing real things with your Raspberry Pi – not just playing in the virtual world.
First, a simple guide to the GPIO header and Pins: http://www.raspberrypi-spy.co.uk/2012/06/simple-guide-to-the-rpi-gpio-header-and-pins/
Second, a very simple tutorial to control a relay (or LED) from within software. http://log.liminastudio.com/writing/tutorials/tutorial-how-to-use-your-raspberry-pi-like-an-arduino
Now that you’ve got your quick fix and got something working, here’s a heap more reading - http://elinux.org/RPi_Tutorial_Easy_GPIO_Hardware_%26_Software- eLinux have a bunch of pages and projects which are controlled by the Pi. These start out as simple as a protected relay, and go right up to controlling a micros and ADC’s over the Internet.
A quick shout-out to a couple of interesting completed projects:
petRockBlog: The guys over at petRockBlog have successfully used the GPIO of the Raspberry Pi to integrate a Super Nintendo (SNES) controller.
This should get you started!