Your new Mac comes with iPhoto, iMovie and GarageBand for free, but you have to download them manually.
First, log in the Apple ID that you used to register your MacBook Air. Then, go to App Store > Purchases and accept iMovie, iPhoto and GarageBand, so they will be downloaded and installed onto your computer.
If you want also iWeb and iDVD, you must know that they were discontinued, so you have to buy iLife '11 on a disc if you want them. You can buy the disc on Amazon > http://www.amazon.com/Apple-MC623Z-A-iLife-VERSION/dp/B003XKRZES/ref=sr_1_1?ie=U TF8&qid=1358591003&sr=8-1&keywords=ilife