You're better off using a checking account to pay rent and utility bills...usually you don't even have the option of paying rent by credit.
(This is a summary of what I did as an undergrad...my credit score is now officially awesome.) If you're looking to establish a good credit history, start off slowly...buy something like one load of groceries a month if you're apprehensive starting out, and then pay the bill off in full every month before the due date. When you get more comfortable, you can maybe start putting all your groceries on credit and paying the card off in full every month. On a rare occasion, if you're very short on cash, you can take advantage of some of those introductory 0% APR-for-six-months offers, and get a new card in time to buy textbooks. (Then make sure you make at least the minimum payment each month during the intro-zero-interest time, and make sure there's no balance on the card by the time the regular APR kicks in.) I wouldn't advise doing anything with cash advances or those stupid blank checks the companies send you. As other posters have said, never ever ever make a late payment--they charge a fee and it looks bad on your credit report. Likewise, it can reflect positively on your score if you make sure to pay all your utility bills on time.
Go for a card with no annual fee, and a fixed APR under 15% if you can find it.