Communication in millimeter (mmWave) bands seems an evermore promising prospect for new generation cellular systems. However, due to high isotropic pathloss at these frequencies the use of directional antennas becomes mandatory. Directivity complicates many system design issues that are trivial in current cellular implementations. One such issue is initial access, i.e., the establishment of a link-layer connection between a UE and a base station. Based on different combinations of beamforming architectures and transmission modes, we present a series of design options for initial access in mmWave and compare them in terms of delay performance. We show that the use of digital beamforming for initial access will expedite the whole process significantly. Also, we argue that low quantization digital beamforming can more than compensate for high power consumption.