Amen to that. The first time you play the game doesn't count for much bragging rights anyways., the real point is to win from then on. There are also certain games where since the map is varied the most beneficial player order can vary as well (Settlers of Catan for example). In my case, my friends don't like having to read the rules so it is usually I who first reads the rules and attempts to understand them, and then I explain the rules to the other members of the group, so I get a bit of an advantage in terms of having more time to think about optimal strategies.

I suppose it depends on the game. If it seems like the game is heavily dependent on the opening actions, then I'll spend more time analyzing. In most cases though, playing the game is the easiest way to build your intuition and get better (if you don't mind giving up a game or two to a more experienced player).

Also it depends on whether the other players yell at you for taking too long.