“You have gained power. Here’s how to use it.” kind of message.
I just realized today on SO that I had a new capability to see the up/down votes on an item by clicking the vote total. I guess I haven't been keeping up enough on the blog to realize this feature got added at some point.
My suggestion is to show a notification whenever to the user whenever they enter into a reputation level that unlocks new tools that includes a link to a FAQ or other documentation explaining the new capability.
Also, I'd suggest a similar notification whenever a new capability is added for all users with enough rep to use it.
For example, you could use the same notification style as when you earn a badge.