Terraria – Complete Yoyo Progression Guide

Here is what I ended up doing:

• Searched for Gold to create gold armor and weapons (doubtful you'll get full gold gear)
• Killed the Eye several times for Demonite Ore
• Destroyed two Shadow Orbs for their drops (the third spawns the boss Eater of Worlds)
• Dynamite the Meteorite and Magic Mirror out of there (after enough of it is mined out, the meteor heads will stop spawning) then use a gold Pickaxe or higher to mine the Meteorite.
• Floating Islands. Craft your skyways during the day, the spawn rates are higher at night for Harpys. Remember these skyways disrupt Meteors, making them very non-profitable.
• Explore under the surface! There are plenty of hearts and chests filled with great magic items! You don't need to go too deep either. Try natural caves.

Now is also an excellent time to farm hearts and stars, and participate in the Blood Moon event for cash. I think the game gets really fun once you get over this little hump in character progressions.

I tended to make little goals like:

1. I will mine this meteor.
2. Then I will look for hearts.
3. Then I will search for floating islands.
4. Then I will destroy another shadow orb.

You get the idea.

EDIT: Sorry I can't provide links, at my desk and unable to reach the wiki.

EDIT2: See this question/answer as well for a similar problem.

Terraria.gamepedia.com has example arena structures for several bosses.

The general idea is to make a screenwidth area with a completely flat floor and usually at least one platform to jump on, or a tower of equally spaced, long horizontal platforms for floating enemies like Skeletron or the Eye of Cthulu to avoid their attacks better. Material doesn't matter other than the floor should be solid and you should use wood platforms for the other sections so you can jump up/down at will. Walls are rarely useful for arenas so leave them off unless there's some reason you need/want them. Note that the Wall of Flesh will need a much much longer arena (a straight platform really) than other bosses.

As far as decorations just use anything you want that's a background later item (like beds, torches, anything the player walks over). If it doesn't obstruct your movement it doesn't get in the way.