I've been a week into facebook and so far so good. Here's my basic testing strategy.
Find an offer you think will convert well.
Make one ad you think will work. Test that same ad across 5 different demographics.
I usually test with $10 per ad. After a day, see which of the 5 ads has the highest CTR% and thats going to be your testing demographic.
Now you're going to test 5 different headlines, making sure the graphics and text are the same.
When you get the winner, test the graphics, then test the ad text.
Once you have your ultimate with a high CTR, then start making some $. Increase the daily budget, lower the CPC, and scale it to different demographics.
Do the same with different offers, rinse and repeat.