So my chips finally passed through customs and arrived in sealed anti-static bags. I connected up the VDD and GND to a bench power supply as others have noted that these chips need quite a bit of power. I also needed to connect the CH_PD pin to 3.3V to enable the chip. Just on standby, the chip consumes about 70mA.
I connected the TX and RX lines to my Sparkfun FTDI Basic and fired up Putty just to test out some commands before I hook it up to a chipKIT. I have to talk to the chip over 115200 Baud, and 57600 does not work. I received READY in my Putty terminal and sent AT+RST. The chip spit out a bunch of boot up text which I will include later when I write a post showing the response of all of the commands. I sent AT+CWLAP and nothing... at first I received ERROR. I sent it a couple more times and actually got the chip to list the access points! I tried connecting to my wifi router, but I entered the password wrong and still received OK. I tried sending the inquiry if I was connected and the chip hung up and any command I sent after that said it was busy. All further attempts to send AT+CWLAP hang up the chip.
So I would say so far, the chip isn't as easy to use out of the box as others have stated. I will investigate further and send some more commands and write up a post detailing how the chip responds.