I'm about to begin playing dawnguard for the first time ever. Any thoughts on what I should expect from it based on your experience?

Vampires and a cool story.

Do NOT go anywhere near towns anywhere near night time, lest you want them to become ghost towns... until you vanquish the vampire menace once and for all.

Save before traveling to a town before you do as well, in case a vamp attack slips the net.

So the vampires attack even walled cities?