It can refer to actually going, but can also be used to the beginning of any enterprise/program/activity. It can also be used to denigrate a recognized course of argument (to belittle it as soon as it starts):
Going: (A family in a car, off on holiday) - 'Tickets? Passports?... Right, here we go.'
Beginning: (Beginning a bit of DIY) - 'Tools? Instructions?... Right, here we go.'
Sarcasm: (Political debaters) - 'Here we go again! Mr Brown always says the taxpayer will foot the bill.'
I believe Ronald Reagan used the last version - though he might have said 'There you go' (which means much the same, but with a more disdainful and argumentative tone).
I think in a shop in the UK the assistant would say 'Here you are'. 'Here you go', when accompanying a think given or handed, tends to follow a request: 'Can you pass me that hammer?'/'Here you go'. I think the idea of starting something is still here; the requestor can now start using the thing requested. (At least, I think that's how I hear it. ;-)) Occasionally, a shop assistant does use 'here you go' - but it doesn't annoy me; it just makes me think they're not British.