I found a great article on setting up GVim on Mac OS X (should work on any version of GVim, actually), and I thought I would share it. I made a few minor changes to the settings to the version I found. GVim, by default uses a small font, and some default settings aren't that great. Below, is my configuration file, with comments above as to what each line does. You can copy the red text below straight into GVim, and save it to your home directory as .gvimrc and when you start GVim the next time, the settings will take effect.
" syntax highlighting on
" auto indent
" show line numbers
" tabs should be four spaces
" do not put a cr at the end of the file. this will result in headers sent if you do web programming
set binary noeol
" highlighting search results is annoying
" show matching brackets
" make that backspace key work the way it should
" show whitespace at end of lines
highlight WhitespaceEOL ctermbg=lightgray guibg=lightgray
match WhitespaceEOL /s+$/
" make the last line where the status is two lines deep so you can see status always
" vi compatible is LAME
" no bell, please
" a better font...
" Windows users, use one of these instead...
" set gfn=Courier:h12
" set gfn=Lucida\ Console:h12
" set the screen width and height
win 80 40