1) I thought about this for a while, and honestly I pretty much knew what I was getting into. I was surprised by how smart and resourceful professors are in trying to find a solution. As undergrads you really don't see that side of them... you only see them teaching undergrad classes.

2) I made zero progress in my research for a really, really long time. Couldn't get anything to work. Like, for more than twelve months. Finally figured it out only after I lost funding. Luckily my department had some emergency money for me. Keep plugging away, because it certainly won't work out if you give up. Make sure you're at least learning something even as you fail. At the same time, always keep an eye out for other funding, especially if your project isn't going well, because you don't want to end up without any work or funding. There is a bit of luck involved, and not every project eventually succeeds.

3) Pretty well. I get tuition paid for and health insurance heavily subsidized. With my stipend I can go on vacations and still put away a few thousand a year. I don't think it is a good idea to go to grad school without financial support.

4) The grad lifestyle has been much, much easier for me. I just work 40 hour weeks, unless I have a major deadline. I work pretty much whenever I want and go home once I can't focus.

5) Keep classes to a bare minimum unless there's something you really want to learn. Once you get going on your research classes will become a huge burden to you.

6) I really like the people in my program and my lab. I do something at least once a week, and I have a cool roommate whom I pretty much met randomly. I'm graduating soon and will miss him very much.