Wasn't really expecting it so soon since apparently the officially released Android 2.3 "Gingerbread" needed to get by the service providers first, but tonight I just happened to check and Android 2.3.3 is now installed and running on my Desire HD.
At 100MB, it's a pretty hefty download so it's definitely recommended to use Wifi rather than data (not that I have a 3G subscription anyway).
The new features have been done to death already by now, so go Google them up if you don't already know. There's tonnes of reviews and previews out there to read, and watch. Here's one example.