Favorite thing: The TGV will take you to the cool Lyon Part-Dieu train station ("gare"), a little far from what you want to visit in Lyon. Take the local train from there to Lyon Perrache if you arrive on the high-speed train.
My main 'tools' of orientation (besides a map and a guidebook, that is) were the two big rivers that converge in the city of Lyon. The smaller one is called the Saone River. The bigger one is the Rohne. It was actually the course of the Rohne that I followed taking the train from Geneva to Lyon.
To the west of the Saone river -- on the left -- sits 'Vieux Lyon', or the Old Town, and the Fourviere Hill with the famous basilica and several Roman sights worthy of attention.
Between the two rivers -- on the right -- is the 'centre ville', with the old Terraux neighborhood, Place Bellecour and the Perrache train station. To the east of the Rohne sits Part Dieu District and most of the city's neighborhoods. This is where you're likely to arrive by train, as most trains, including several TGV ones, arrive at the Lyon Part Dieu -- the more modern one -- train station. In this disctict you can also find a huge shopping centre and some delicious brownies (that's on the topic of food).