I Changed the oil and oil filter on Jane (our truck) last night for the first time.
I made only a moderate mess, yay!
1) Get a turkey pan or equivalent, tinfoil carefully shaped, even several layers thick, does not count (it tore)
2) Motor oil smell is really hard to get off your hands... a little "exfoliating", 2 types of soap, and about 8 hours seemed to do it though.
3) A full roll of paper towels is a must your first time, extra pans and towels recommended. Think thin runny chocolate sauce, but more prone to getting on everything.
4) At least on my car, it's effectively impossible to keep from dripping some oil. You will drip when you take off the filter, and those drips land on a pan that's part of the car. That pan doesn't have a single drain-point, so it will come out somewhere likely multiple some-wheres. Do the change where a few drips aren't a big deal, catch what you can in pans, but be ready to wipe up a bit too.
Also, I measured the oil level while filling and it read full when I had put in a good quart less than the correct amount (my manuals have 3 amounts, one for dry fill, one for if you replace the filter, and one for if you don't). I tried starting up the engine and shutting it off again - sure enough it pulled it into some corners somewhere and it needed just about the recommended amount.
I started it up and let it run a bit when I was done, it sounded odd at first, presumably pulling the oil through the system, working out bubbles, and I would've shaken up some loose debris in the system as well that I expected to change the sound temporarily. After a couple of minutes it was purring away again though.
In the bottle I used I managed to catch about 4 of the 5.8 quarts I drained out of the truck. Much of the rest ended up in my ad-hoc catch pans, a fair amount in the filter, and the rest was on the ground. It sounds bad, but I've seen pictures of other people trying to do it, and based on that I call this a success for my first time.
Several people gave advice for future instances - the most useful of which was to use nitrile gloves, which although I had them I didn't think to use.