I think the hardest thing to get used to initially is that the you're using your hand on the tablet while you watch the lines on the monitor.
There's always setting tweaks and such, and programs like the ones already listed, so I won't really delve too deep into them.
Pressure sensitivity can make a bigger difference once you're used to manipulating your chosen program's brush settings (if you do get a more recent tablet/cintiq, pen pressure, tilt, and a bunch of other things can be used to affect your brush settings, at least in photoshop.).
If you can at all, see if you can try out a cintiq or tablet computer (Bug the computer stores..) to see if that suits your needs as well. Both are closer to the traditional pencil and paper, but may lack the tactile response you usually get with paper.
You don't necessarily NEED a most recent tablet with all the buttons and doodads... I know artists that used intuos/bambo 1/2 tablets and still did amazing work even recently (and didn't really notice a HUGE difference when they finally upgraded tablets, other than the nibs burn out really fast now..).
If you're on a budget, I'd highly recommend using a Bambo line tablet. Pressure sensitivity is good, with minimal buttons (which I honestly haven't needed/used much).
I use a Large Intuos 4 myself, and have used a bamboo when travelling, and a CIntiq at my school studio... All have their own benefits but I haven't noticed a huge difference from the intuos to bamboo other than the extra buttons performance wise.
Random note, but even though you can edit out mistakes way more easily digitally, there's a lot to be learned from drawing traditionally. Mainly that it forces you to commit to a drawing at some point and finish it. CTRL-Z is a blessing and a curse while you're practicing drawing.