We're still playing Sunless ... my players just finished the first level. While our game is a little "unusual", some things that should hold true:
Beware the rats in the first encounter: they put down two members of the party when we played. Admittedly there were only three people there that session, but they included a Paladin with STR 18 and CON 18 (he was one of the ones who went down). Many other groups have had similar experiences.
Also, beware the mephit in one of the early chambers. DR 5/magic is pretty nasty against 1st level characters, though the presence of a Barbarian (who I hope has Power Attack) should help. The mephit's breath weapon has the potential to hit most of the party, and could be lethal for the Sorcerer.
From an atmosphere and immersion POV, remember to play up the setting. If yours is a grim, serious game, then it should be a place of destruction and decay, feeling dangerous and oppressive. There should be occasional trickles of dust from the ceiling, a thick stench in the air, and other suggestions that at any moment you could be asking for Fort or Ref checks.
Alternately, if yours is a game of larger-than-life heroics, play up the age and majesty of the place, even after all these years.
And so on, and so forth.
In my game, it comes off kinda like one of those obstacle courses from 'Survivor', only with a lot more bloodshed.
