Because newborns have a pretty limited repertoire of activities, the crying issue often goes hand-in-hand with sleep and feeding issues. I never expected there to be any conflict about what to do when my baby cried. I would pick him up, change his diaper, feed him, or some combination of the three, and he would stop, right? Well, yes. And no. Ultimately, it depends. As with sleep and with feeding, there are varying schools of thought on what to do with a crying baby, ranging from the "attachment parenting" folks — who feel that parents should respond to baby promptly and do whatever consoling is needed — to those on the other end of the spectrum who advocate following a strict time schedule dictating when to feed baby and when to let baby sleep. The American Academy of Pediatrics says it's unlikely that a baby can be "spoiled" before the age of 6 months simply by responding immediately to his cries. But opinions on just how you should respond vary. Although I personally prefer responding pretty promptly to a child's needs, at least until the child is 6 months old, I'm not going to argue for one side or the other here. Just be aware that there are a variety of approaches, and use the one you feel most comfortable with (but also know that well-meaning people will insist that you are spoiling your baby if you always respond quickly, and others will tell you you're neglecting him if you don't step in with bottle, breast or a cuddle right away).
If you just can't stand the thought of standing by while baby cries, there are some methods that don't involve the dreaded "cry it out" routine (the book The Secrets of The Baby Whisperer, Ballantine Books, 2002, by Tracey Hogg and Melinda Blau offers such tactics).