Now I don't know what types of non-ArM games you all have played, but I see a very big difference from DnD-like 'kick in door' games to Ars Magica in the responsibility.
In DnD, we would travel some place, discover a strange mystery and try to solve it. If solving it included getting on the bad side of powerfull authorities (which often leads to not solving the problem at all) we would simply run away to another country/place.
In ArM, you 'own' a covenant and if you mess up with the local lords you cannot just leave. Next to that, there are so little magi that everybody knows each other. (literally they are on first-name basis, since there are no family names yet)
I play in a group of experienced RPG'ers, but we haven't played ArM before. We started out with only magi in a winter->spring covenant. (all quite cliche I believe) Now that we are adding more grogs and companions it still turns out that you have the best connection to your magus and it is therefore nicest to play your magus instead of grogs. We usually take a few grogs on trips and they allow us to explore the medieval world better.
Another great feature (at least in my group) is the multi-storyguide. We are four players and four SG's at the same time. It is a bit chaotic with the storylines, but really challenges us all to think about a logical world and how actions and reactions fall together. It also forces (sort of) us to make stories that have a longer ingame timespan, since we try to alternate SG's.
For instance: a fireman (making fire, not putting it out) is coming to our neighbouring fairy regio, we promised to help them 5 years ago. We discovered graves of past magi trying to fight of a fireman (and died apparently) 2 years ago. Had some fires in our own village and know that the fireman is not a fairy. So we are currently spending some time on ward against flame, the rush for a fairy ward was delayed and some of the magi are learning a bit of extra Ignem magic they otherwise wouldn't.
In the mean time we also have 2 other stories that drag some of the magi into adventures, giving the magi working on the fireman some 'off-time' to do research.
This way of gaming really works for me, and also for the rest of my troupe.
Sticking to some sort of reality also gives a nice backbone for the story. (though this is even more personal) We use an excisting 13th century town (of which the church and tower of the covenant are still there today and we really want to plan a trip over to Rotterdam). This means we have some maps, excisting families, a logical timeline for mundane events and a realistic idea of the surroundings and developments. It also creates a good timeline for stories, since quite a few of them are based on history. Furthermore, since the players know (or can look up) local, national and worldly events we use them in puzzles and adventure hooks. (one of my players actually got the hint on the battle for some old-Dutch province from her characters vision of a goat and a mule )
A more sensitive issue is using famous works. The most famous being the bible I would say. I really enjoy using it, but it does incur a little blasphemy here and there. A possible pittfall is that players know the works and draw conclusions based on parts of the work you hadn't taken into account, but it does add to the feeling of grandure and importance a lot. Seeing that the message you get from some strange magus-like person is actually in the bible gives you all t he more reason to believe it. You will be surprised of the things you can find in the bible, I made the sentence (in Dutch): an angel of the Lord appeared to the magi and spoke: "magi are leaders and guard the people from an angel that was mislead and terrifically malign." I found this all by reshuffling Mathew chapter 2. (my apolosies to those that are offended by implying that God intended magi to rule the world, I know that it is not stated as such in the Holy bible)
Enough of me writing about myself, I give the floor back to whoever wishes to reply some more.