I ran one when I was 11; my best friend was heavily into Werewolves, so I modified the rules to include some from the Mark of the Garou game. I think Mark of the Garou came out of the same publishing company as the one that produced/created Vampire the Masquerade. Mines was heavily based on Final Fantasy, so powergaming was especially heavy. It wasn't until my second and third campaign that I focused on an enjoyable story and a difficult scenario.

How'd it go?

It went great! I was actively making sure everyone had fun, and that they all got to do cool stuff. I still included dice rolls, though, but I created two additional characters to make sure noone died (a cleric and a mage, both female, since the game group was entirely male). Later on, when the computer game came out, I created a really large and seemingly unending campaign focused around the idea that the characters could start or end wars, and eventually they could all retire - it was heavily influenced by DragonLance.

What'd you do?

I will go off the fourth and fifth times to give you the benefit of my experience a bit more. I am against grinding (as in requiring you to five hordes of rats at the begining, and then be fighting red dragons at the end) and all about story, so I always had two or three scenarios planned, like a "Choose Your Own Adventure" book. That way, if the characters decided to go down a certain road, do something a bit differently or rolled the dice a certain way, I was just as excited to see what happened as they were. The fun part is controlling other characters who get to react to what the players are doing - if they are being jerks, then a bunch of the prices at the stores would be raised, inns wouldn't allow them to stay and kings/queens/lords/ladies wouldn't deal with them directly. I was also very brutal in combat - I modified die rolls using other rule sets (like from the magic, martial arts and heroic combat guidebooks) so that a sword that hit it's target might very well maim the character. The players, thus, could end a fight by blasting a magic missile into a monster's eye or aiming an arrow at the monster's jugular. Also, it was more fun to deal with the obviously non-human monsters, so I had gelatinous cubes, dragons, demons and etc but very few goblins or trolls (I left the orcs, ogres and giants in, though).

Any suggestions for starting one up?

I would look at the different magic and combat systems AFTER playing through a more traditional campaign. It might be helpful to run the basic setup first so you can focus on telling a fun story and building interesting scenarios, and THEN start altering rules just so. At this point, I've developed a magic system combining Avatar: The Last Airbender's Bending and The Wheel of Time's Channeling in order to give the players more freedom beyond just memorizing and casting spells. A lot of fun can be had when you make it clear that the spells that need to be used creatively are not just parlor tricks - a first level spell (I used the magic missile one above) in the hands of a high level/skilled player was a very dangerous spell to have, and I encouraged experimentation. What I did was modify everything I hated about the Channeling system and add the sense of agility and free flow that Avatar has - levels didn't place a cap as to how many spells you could cast per day, it only determined what you were able to learn, so each spell or 'Mahou' (Japanese for magic) was more like a skill, and you had to roll a dice run a Wisdom or Intelligence saving throw to see if the use would exhaust your Constitution. Basically, a powerful magic user was a smart mage, and strain could depend wildly on the situation. The higher level spells could dangerously deplete your spells very quickly, while lower ones, towards the end of your journeyman career, like magic missiles, could be cast pretty infinitely unless you tried to use a more powerful version.

The end goal: Happy Players. Happy Players, Happy DM. But don't make it too easy or you'll get tired of it, and the players will get bored.