On most of my personal vehicles, I change all the fluids and lubes throughout the vehicle within the first 5000 miles. At that time, I go over to synthetics all the way thru from engine to diffs.
My commercial stuff, I go to synthetic at first oil change. As has been stated, there are a surprising number of vehicles that are coming out of the factory with at least a synthetic blend or even a full synthetic.
I got really sold on synthetics in my commercial semi trucks. In that case, the component manufacturers will extend the warranty automatically from 500,000 miles to 750,000 miles if I use synthetics. I just carried what I learned over to my personal stuff, and I run almost everything on full synthetics now. Just find a good product at a good value so you are not spending more than you have to.