Rules
Gideon's first ability causes him to become a creature with the creature types Human, Soldier, and Ally. He remains a planeswalker with the planeswalker type Gideon. (He also retains any other card types or subtypes he may have had.) Each subtype is correlated to the proper card type: planeswalker is only a type (not a creature type), and Human, Soldier, and Ally are just creature types (not planeswalker types).
Gideon's first ability doesn't count as a creature entering the battlefield. Gideon was already on the battlefield; he only changed his types. Specifically, your rally abilities won't trigger. (Of course, Gideon's second ability will cause rally abilities to trigger.)
If Gideon becomes a creature the same turn he enters the battlefield, you can't attack with him or use any of his {T} abilities (if he gains any).
If damage that can't be prevented is dealt to Gideon after his first ability has resolved, that damage will have all applicable results: specifically, the damage is marked on Gideon (since he's a creature) and that damage causes that many loyalty counters to be removed from him (since he's a planeswalker). Even though he has indestructible, if Gideon has no loyalty counters on him, he's put into his owner's graveyard.
