You are certainly in an enviable situation, but you've got some work to do.
First, establish an emergency fund. How much do you spend on all of your expenses in six months? Put that amount aside. During the good times, it's important to prepare for the bad times, and losing a job or some other expense can come at any time.
Second, investigate a retirement plan. I would choose a low-cost broker such as vanguard and start contributing to a broad-based index fund in an IRA or Roth IRA. You might want to read a book on investing first; I wish I had before I started investing! If you don't know which funds to choose, I highly recommend target-date funds. Pick the date that is closest to your anticipated retirement and start investing. Then set up an automatic contribution system and forget you even have the account. Investments like these tend to grow when you're not paying attention...
Third, you must
start building credit. It is absolutely paramount
, unfortunately, to have a credit history in the current system of economics. Do you plan on buying a house? A car? Taking out a loan someday? For all of these things you will need credit. Get a no-annual-fee credit card, start using it for stuff you would have bought anyway, and pay your balance in full every month. No interest, no problem, and probably some rewards points for your trouble. Credit cards have a bad reputation, no doubt, and you're probably loath to get one having heard all the bad things. Just start out with one and you'll get used to it. Odds are, you won't get over your head and carry a balance anyway!Extra credit
: If you don't have it, get renter's insurance (I'm assuming you rent). It's cheap and absolutely worth it. Remember, your landlord's insurance only covers the property itself, not your belongings within the property. Peace of mind costs about $300/yr, worth every penny.