Yeah, it comes with the primary crucial stuff. The USB cord is standard, like the kind you connect a printer to your computer with. You will just need the obvious stuff, 1/4" cable(s) to plug guitar into it, 1/4" to go from HD500 to an amp. Does not have any RCA outs. Has the standard 1/4" headphone jack.
It's worth mentioning that when using the HD500 connected to a PC, the HD500 should be designated as the soundcard, if you want to use it for recording. In that case, the audio playback / output is routed out the main 1/4", XLR, and headphone outs on the HD500, so you will need the speakers connected to the POD to hear anything.
You will definitely want to deal with the monkey. The Line6 Monkey that is. It's their software which allows you to update the HD500 to the latest and greatest firmware / flashware. Just do what it says, in terms of disconnecting the USB cable when it says, power cycle it when it tells you. Do that first, using the login you have here to connect and register your gear with L6.
When it prompts you if you want to save your patches during update, say 'no' for these first updates.
Once you have everything updated on the HD500, Monkey should also install drivers on the PC, and the HD Edit software. Do yourself a favor, and get ALL of that out of the way first. While drinking those beers!
For me, I like to start in studio/direct mode. Especially if you intend to connect to a PA. Once you get a DT amp, that changes everything, but for now, studio/direct is essential. It's your new best friend.
If you have any amps, use the FX return. 1/4" cable from HD500 (L) (mono) out to the 1/4" FX return on the amp. In studio/direct mode... This will sound most correct for the time being.
Now, no offense intended to the onboard presets - but skip them, all of them. Head straight to a blank patch. Choose an amp model. Play. Choose a different amp model. Play.. Repeat, adding beer as needed.
When you are feeling adventurous, head over to CustomTone and snag some patches. Load them into HD Edit, using the 'send' function will transfer them to blank slots on the HD500. I suppose same goes for the onboard default presets.
The reason I say 'start with the blank patch', is there are some SERIOUS volume differences between patch to patch. Like, scary big volume jumps. Auditioning a few of the HD amp models will give you a good sense of what this thing has to offer. Also tweak the mic choices; any given amp model will sound radically different based on the mic choice. Again, because it's studio/direct, this is the setting which will sound 'right' for direct recording, direct to PA, and to any FX return of an amp - because you want to bypass external preamping and tap the HD500 tone direct to a power amp with as little coloring as possible.
The reason I say use the HD edit software, is because it makes it a good bit more obvious when you look through existing presets, and when you want to set up your own.