The first time you run Bluefish it will create a directory ~/.bluefish where all configuration is stored. This includes all preferences, customized menus, highlighting-patterns, file history etc.
Bluefish will work right out of the box, but you can and should take advantage of the many customizations you are able to do. Change the font in the main textview if you don't like it, remove unused toolbars, add shortcuts to the customizeable menu and edit the list of browsers and external programs.
If you are upgrading from a previous version, perhaps CVS, you should note that the syntax highlighting may have changed. To make sure you have the latest highlighting patterns, exit Bluefish and delete the highlighting file in your ~/.bluefish directory. Next time Bluefish is started, the new defaults will be loaded. Note that this will also annihilate all your changes to the highlighting. A more gentle approach may be to move your current highlighting-file to highlighting.old, start Bluefish to get the new patterns, exit bluefish, and then run diff -c highlighting.old highlighting to find the differences..
If your settings should happen to be corrupted, for some reason unusable, or you simply want to revert to the defaults, you may safely delete the ~/.bluefish directory.