There are a few things that make running Ravenloft difficult:
1)
Fragmentation - If you move from one Domain to another, the rules change significantly. One may be Renaissance tech, while one of its neighbors is stuck in the Dark Ages. One may be standard fantasy fare, while the next is a region filled with undead, and another is mind-numbing and filled with Illithid.
It can be very frustrating for players to have their PCs stuck in a Domain that doesn't fit their concept... a Sorcerer gunning for the Mindbender PrC suddenly finds himself useless in a realm of undead.
It's best if you can pick a single domain, or group of related Core domains to run in, and keep the players there. Don't let them wander too much, or create plots which force them to wander.
2)
Darklords - Let's face it: when the game's Big Bad is almost a god, it's pretty hard to get up enthusiasm about fighting it.
Many darklords are almost impossible to kill, or will simply be replaced by something just as nasty when killed. So, try not focus so much on them. Give the PCs a real, tangible villain to deal with, someone they can (eventually) take down on their own. Or, find a way for them to actually destroy a darklord (which may dissolve the domain, taking them back to the Prime Material it came from).
3)
Depression - Ravenloft is a really, really bleak setting. It's made to grind down the will of any who live in it... and unfortunately, that includes the PCs. It's good to have a brooding, gothic atmosphere for the game, but after a while it can actually poison the campaign. People have bad days, they are tired of being a beacon in a realm of suffering, and after a while they just want to give up playing.
You're the best person to keep that from happening. Why?
Buffy the Vampire Slayer.
Seriously! Make sure the game is dark & dangerous, but allow some humor to slip in as well. Give the players a light-hearted moment, or a relief when the danger isn't what they expected. Remember the demon from the second Halloween episode? That whole show was terrifying the characters, keeping them guessing, keeping them down... and in the end, it was the silliest damn villain you can imagine!
Also, think
An American Werewolf in London... more humor in a grisly, horrifying story. It keeps the emotions from stagnating, and also allows you to twist humor into terror, or vice-versa.
4)
Losing Control - Again, most people play the game for entertainment. But, in Ravenloft, many of your actions can result in losing control of the character. Lycanthropy, vampires, Dark Powers Checks, etc... depending on the group, you might have to scale this back a bit. Or, give them a chance to role-play the struggle for control, letting them wrench free at a dramatic moment. Just something so they don't feel so impotent during what's supposed to be a fun time.
5)
Against the Odds - Finally, PCs really aren't supposed to win in Ravenloft. Kinda like White Wolf's
World of Darkness, you're supposed to fight the good fight, even though the Dark Powers will never really be defeated.
Well, you might have to break that rule. At least let them have a chance of freeing one Domain, or escaping to home if they were 'pulled into' Ravenloft. Give them a goal they can reach.
Hope that helps. I'll try to come up with some more specific ideas (adventure modules, Dragon articles, etc.) later.