I always send out that probe, which builds the first pylon on 8. The way I send it out differs depending on what race my opponent is:
Against Protoss, I click and then shift click a path around his main base. Your probe can walk around uncontested for a good while and the point is to see whether he goes for a cannon rush, fast expand, fast gas, whatever.
Against Terran, I click the probe to his ramp and then shift-A-click up his ramp, so that my probe attacks his SCV that is building barracks by the time my probe gets to his base. Above silver league that kind of harrassment is just a minor nuisance to your opponent, but it's easy to do and distracts him a tiny bit, so I still do it. Of course you need to pull your probe, once he starts attacking it. You can get off 3 hits on an SCV with just shield damage. If you then pull back your probe, you can kill the damaged SCV that is chasing you, once your shields have regenerated. It's important to always focus on your base and build stuff, while automatic actions like withdrawing+shield regeneration is going on with your probe.
Against Zerg, I send the probe to his natural expansion. Once there, I park it with hold position. That way, the probe doesn't get shoved out of the way, when his drone comes down to attack it. If you don't hold position, he can easily shove your probe and throw down a hatchery. If he has to attack your stationary probe, it gives you time to react and plant down a pylon to block any hatch. If he doesn't expand, your probe is still in a good position to see zerglings coming down the ramp, so you can deal with early pressure accordingly.
Hope that helps,
all the best,