Socialization is an extremely important part of training. Expose your pup to many different people, situations, children, and other dogs. Please go gently though - he is a baby and easily overwhelmed. Your goal is to have him enjoy new experiences and people, not fear them.
Decide ahead of time what words you will use for various behaviors for praising, correcting and training your pup, and what will be allowed and what won’t. Consistency is important, and will make training and house breaking much easier.
Informal obedience can be started as soon as you receive your puppy. He should learn to sit and wait patiently for his meals instead of jumping all over you - cute while he's a puppy but a nuisance when he is full grown. When he chews on something he shouldn't (and he will!) a firm "NO!" and/or a tap on the nose will teach him that that is not acceptable behavior. Be sure to have things around that he CAN chew on. Follow any correction for chewing by giving him something he is allowed to chew on and telling him he’s a good boy.
While there are many famous Jack Russell Terriers in the movies and on TV, please remember that their trainers have spent long hours producing a JRT who will follow directions. Wishbone and Milo [from the Mask] weren't born obedient. Jack Russell Terrier puppies do not come to you with the level of obedience training needed to accomplish the feats seen on TV and in the movies. It is strongly recommended that you take your JRT puppy to obedience classes. While other types of dogs might be able to wait 6 months or a year before beginning obedience classes, we recommend that your JRT puppy begin as soon as possible.
Puppy class is for you as well as for your puppy. You will be taught a series of exercises for your puppy, and it is your responsibility to see that your pup is put through his paces every day.. Usually, you and your pup will learn a few basic commands, including `sit', `down', `stay', and `come'. Sometimes you will be shown how to teach your pup a few `fun' commands, such as `roll over', `bang, you're dead,' and `shake hands.' Puppy class is a good starting point, partly because it brings your puppy into regular contact with other young dogs (and therefore contributes to his socialization), and partly because these are really basic commands that he needs to know.
A puppy ‘kindergarten’ class will give you the basic commands needed to have a well rounded house dog. If you find you enjoy obedience training, you can take more advanced forms later on. Initially most puppy owners are pleased to master "sit", "sit stay", "come" and a few other basic commands that give you control over your dog. If you can't attend a regular class, or there are no classes in your area there are a number of good books on the market. Clicker training is a wonderful system. You can find lots of information and books about clicker training with a Google search, or at Karen Prior's site.