I'd leave it in something very safe until you build up a cushion. Part of the benefit of a HSA is not paying taxes on disbursements used for medical expenses. If you're in the 25% tax bracket, that's a "return" of 25% for just depositing the money and using it for medical expenses.
I'd typically keep the annual deductible in a liquid place... So if the plan had a $5000 deductible, I'd keep all contributions up to that $5,000 mark in something like a money market fund, or maybe short-term bonds, if you're really adventureous. Once you get past that $5000, invest the surplus into more risky assets generally in line with your risk threshold. Every January 1, make sure you have $5000 liquid and safe.
The larger your surplus over the deductible the more risk you can take with it, so as your money grows, you might reduce that $5000 cushion. Say typical expenses subject to the deductible run about $1500/year. If you have 15,000 in the HSA, you might only keep $3000 or $2500 in the money market fund, and be more aggressive with the rest. The logic behind this is that the larger buffer you have might make you more risk tolerant, since the "worst case" scenario would still leave you solvent.
