Hey Creighton,
I'm doing my Ph.D in Applied Engineering Physics at Cornell, NY. Personally I love grad school but I think it varies drastically between different people. A large part of it depends on your advisor and what his/her temperament is like and how he is with managing his students.
I have 2 friends who are both smart guys but didn't get along at all with their advisors (mostly the advisor's fault. Both of them were hot headed and nasty with their students) and have now left with a Masters. My advisor on the other hand is a great guy who lets me keep flexible timings as long as I get results, is good at encouraging me and keeping me motivated to do work without being nasty or too pushy (which can have a very demoralizing influence). So I think my biggest piece of advice would be to carefully select your advisor....talk to his/her grad students to find out what the lab dynamics are like and how much you are expected to work, etc. I enjoy my grad life because I like my research but I also get my weekends off to do my own thing and in general pursue my hobbies. Some advisors however can be slave drivers and don't let you do that as much, and I'd be completely miserable under them even if I loved my research.
Apart from that I think there are certain things you should be prepared for. If you do go in for a Ph.D, you're not going to be earning much for a good 4-6 years which is a fairly long time and you need to figure out if thats OK with you. Personally I don't care so much, I still make enough to live quite comfortably in a collegetown area and pursue hobbies like Aquariums, rock climbing, etc. I'm definitely not poor

, but nor do I have huge savings or the ability to buy a fancy new car/house. I'm OK with that, but for some people it might be acceptable at 21-22 when they start but they get frustruated with it by the time they are 24-25.
Now the nice thing about it is that if you have a nice advisor, you can be like me...typing this at 11 AM from home...having woken up just 30 mins back

. Flexible timings is the single most awesome thing for me in grad school. I love being able to do stuff on my own terms and timings and not have to follow the regular 9-5 type patterns.