Audio/MIDI Setup:
1.:
"I have a delay when I hit a key on my keyboard or when listening to my guitar on headphones."
[Windows (all versions)]:
You are probably using your onboard sound card. It doesn't come with "low latency" (latency=delay) ASIO drivers to make audio processing as fast as possible. Many consumer sound cards and onboard chips run with ASIO4ALL, download it here:
http://www.asio4all.com/
After installing it, open REAPER and go Options->Preferences->Audio->Device to select 1. ASIO as your audio system and 2. ASIO4ALL as the ASIO driver:
Next you need to click the little ASIO4ALL system tray icon...
...and set the "ASIO Buffer size" to a value your system can handle, try 512 first and then reduce that until you get crackling noises etc., then go back a notch or two. Most systems can get 256-512 samples without artifacts, so try that as a starting point
If you are using a dedicated audio interface, you need to select the "native" ASIO driver of your interface instead.
[Windows (Vista and higher)]:
On Vista and Windows 7 you have also the option to use WASAPI instead of the ASIO driver model to achieve low latency.
[OSX]:
OSX allows for low latency with its onboard ("default system device") sound chip without extra drivers. Just go Options->Preferences->Audio->Device in REAPER and request a "Block Size" if you experience latency:
To be continued occasionally...