I completed my PhD in Math at UCLA in 97. As I remember, the first couple of years were very focused on getting past the qualifying exams; once they were done the pace settled down a bit as you went about finding an advisor, a research area, doing the research, and writing things up.
It's much more like a job than undergraduate study, particularly if you are working as a TA or RA. If you're lucky you'll even have your own space on campus (a desk or shared office, most likely), which makes it much more "work-like".
Coursework was less of an issue than undergrad: you know how to organise your time and do what you have to do. A C in grad school is often considered to be a failing grade, so you have to be doing pretty badly to get less than a B.
Where you will likely find the biggest difference from undergrad is if you have to do comprehensive or qualifying exams in your program. These can be quite hard, and you have to do some serious studying for them. They can also be extremely stressful, and in the UCLA math program it was whether you could pass these exams which basically decided whether you got a masters or PhD.
I basically stopped playing RPGs when in grad school, but much of that was because I relocated to go to grad school and never found a good group to play with. I had enough spare time that I could have played RPGs, but instead I did thinks like hiking, mountain biking, reading a lot of books, seeing some opera, etc.
The usefulness of a graduate degree really depends on what you want to do with yourself once your done. If you want to be an academic, then the PhD is essential; it's also essential if you want to be doing research work in industry. Beyond that, it depends on the field and industry. In CS, my understanding is that a masters makes you more employable than just a bachelors degree.
As for dissertations, in math at least, a PhD thesis is supposed to be a significant new contribution; a masters thesis doesn't have that expectation: a well-done literature review can be well-received, particularly if it's bringing together a scattered body of work.
To sum up: you should probably go for it. If you want a PhD, look for good places that will offer you support. If you want a masters, look for good programs that you can afford.
Corran