After "legitimately" rooting an HTC phone, how do I get SuperUser to work? I went through HTC's official rooting steps which I've discovered is unusual because it means I didn't instantly start with a special rom that has SuperUser installed by default.  I installed Superuser from the Play store, but when I run something like SetCPU, I just get "SetCPU can't get root permission.  Make sure to set it in superuser."  I don't get the promised sudden prompt from SuperUser.  Is there a special way to install SuperUser that I should be using?
An unlocked bootloader is the precondition to mod a phone. It's not the same as having root; it just allows you to install a custom recovery and a different boot.img. You need to flash a CWM recovery and a compatible gain-root.zip or just start all over and install a real ROM like CyanogenMod (hope your model's supported)

What you gain from having an unlocked bootloader: fastboot access.
These are the most important commands ('boot' may be missing though): 


fastboot boot boot.img (boot to boot.img without flashing)
fastboot flash recovery CWM.img (install a custom recovery)


What you have to do to gain root:
If your HTC supports the fastboot boot 'foo.img' command, use this to launch a temporary ClockworkMod recovery from here or find a suitable CWM in your phone's XDA forum. If your model only supports the fastboot flash 'recovery.img', you have to install the recovery permanently to the phone's recovery partition. After that you have to install SuperSU (see this thread on XDA, search for CWM installable ZIP: CWM-SuperSU-v0.98.zip) via the recovery's install zip from sdcard or adb sideload feature. This pushes both the su binary and the Superuser.apk to your phone. After that you have root and can enjoy all those cool root apps.