Check to make sure that the rear wheel is still completely seated in the frame's dropouts.
If it's a geared bike, see that the rear derailleur pulleys are parallel with the frame's plane -- it's possible and likely that the derailleur hanger is bent, causing the chain to be out of alignment with the cogs.
Is the chain lubed? Maybe it took on a small amount of corrosion during shipping? Lubing it would fix this in a hurry.