Learn English – Comma after To at the beginning of a sentence

So, now that you've asked this question, how can we answer it? "So," suggests a substantial turning point in the discourse, for example between describing a situation and reacting to change it. See Fattie's answer for good examples where the turning point is substantial because of the outrageousness of the situation. Less outrageous examples still have a substantial turning point:

As my students, you have worked hard and studied carefully. So, today it's time to party!

So now let me describe "So" without a comma. "So" suggests logical continuity, for example between describing a situation and its usual result. When possible, it would often be better to combine a "So" sentence with the preceding sentence.

As my students, you have worked hard and studied carefully. So I know you will pass the examination.

As my students, you have worked hard and studied carefully, so I know you will pass the examination.

Not to disagree with jboneca's answer, but here's another interpretation.

This is similar to the practice of, say, writing lists of names like this:

• Einstein, Albert
• Shakespeare, William

Or writing inventories like this:

• Coat, brown
• Shoes, leather, black

In each case, we mark the break from the natural order of English ("black leather shoes", "Albert Einstein") with a comma.

The natural order of an English sentence is to put modifiers like in Italy at the end:

There are many historical art pieces in Italy.

But English grammar permits us to move the modifier to the front when it suits our purposes. In speech, we mark this break from the natural order with a change in intonation and a pause. In writing, we mark it with a comma.