So you arrive at the archive, you register, what do you do next? I would estimate that most people's instinct is to dive immediately into the documents. But I would suggest another tack. First, it is always useful to sit down and speak to the archivist about what you are looking for. Some will be more helpful than others, but they are ostensibly the people who know what the archive has. Second, I have found it useful to spend some time at the beginning just perusing the catalogues and the bookshelves in the reading room. Simply paging through the paper catalogues gives one information about the sorts of documents in the archive, the plausibility of a research project, often lots of full or partial transcriptions of documents, references to printed works, and almost always lots of new ideas for further work. Perusing the bookshelves is the best way to familiarize oneself with the available reference works. More importantly, however, the archive is likely to have all sorts of obscure scholarship relevant to their collections that one probably can't find in the average university library. So the archive reading room is just an extension of pre-document preparation. That is where you will find the book about the paleography of that one particular region of France in the seventeenth century (luckily, or I would not have made any progress in Lyon), and that is where you will find a 75-year-old book by some local historian that transcribes key documents or that tells you what collection will be the most useful. Even if you go to an archive to look at specific documents, spending time looking through the bookshelves can often be very helpful. I was recently working in the Parliamentary Archives in London--which is a great archive to work in. I thought I only wanted a few documents. When I finished with them, I looked over the reading room reference collection, found a set of volumes on the archival series I had been working with, went through the relevant volumes, and turned up some material far more valuable that the documents I had come to look at.
In addition, going to an archive for the first time can be very intimidating. There are likely to be a bunch of people there doing genealogical research or local history, who all know each other, and who all give the impression of knowing a great deal about what they are doing. Spending some time becoming acquainted with the archive itself is a good way to ease into the project and let some of the intimidation factor wear off before starting on the difficult task of working with the documents.
The next step, then, if you are working with difficult-to-read documents, is to order up documents for which you have located a transcription. These are not necessarily documents that are of particular interest to you. They are really rosetta stones. To the extent possible, avoid starting cold with a document in a new or difficult script, because that is so frustrating it can discourage one entirely. Easing in by being able to test oneself against a transcription--which also helps one master the abbreviation system of the time, place, and language--is much more efficient and less masochistic.