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):
What you have to do to gain root: