I was stuck for quite a while on "Please Wait"... if it helps, I finally got around it by backing out and doing "Restore Default Settings" from the Initialize menu in the Settings section. When I tried again to log in to PSN, I was able to get to all of the initial sets of screens where you choose privacy options and such.
I hit another "Please Wait" roadblock right before I got to the screen where you are prompted to set your PS4 as the primary one for your PSN account. At that point, I hit the PS button on the controller, selected the "log out" option, logged back in, and gave it another go. That brought me to the "set your primary PS4" screen successfully, and after that, I was off to the races (downloading Resogun now)
Hope that helps!