There was a post a while back about this subject, which I put my two cents into. I had someone explain the meaning of this phrase of Jesus at his baptism, which is the best explanation I have ever heard.
Jesus came forward to be baptized of John because He waited until He was of age to be baptized into the sacrificial priesthood. Levitical priests could be 20 years old, but priests that were to sacrifice for the people had to be 30. So Jesus waited until he was 30 to be baptized into the sacrifical priesthood to 'fulfill all righteousness.' I think that is an outstanding answer.
Here are a couple other gold nuggets from the same teacher.
Jesus was told by Satan, just after His baptism, to command that stones by made into bread. While Jesus did not do this, notice the first miracle He did do after coming out of the desert was no less impressive. Not stones to bread, but water to wine. Thus 'one upping' Satan by showing He would not listen to any persuasion of Satan, but still showing He had the ability to change the physical state of anything He wanted to into something consumable.
As well, Jesus had these 40 days taken out of His life, so to speak. 40 days that Satan had a 'hay day' with constantly tempting our Lord while Jesus was fasting. Notice that after the resurrection, Jesus seemed to claim these 40 days back that the Devil may have had some bragging rights to, by spending 40 post-resurrection days with His disciples. In my teachers words, it was the Lord's way of telling Satan, 'talk to the hand.' (for those who aren't familiar with this expression, it is somewhat equivalent to 'eat my dust' or 'you just got taken to school')
