As I'm still in the early phases of my graduate education, I still have classes. In many ways, graduate classes aren't that different from some of what I did as an undergrad. Some of the key differences in my experience so far are:
More outside learning/prior knowledge is expected. You should either know it, or learn it on your own, but don't expect a lot of hand-holding. A good grad level class will cover more material in greater depth than you've likely seen before.
Less frequent, more difficult homework. Problem sets won't be every night, but they will take significantly more time, and often require you to consult resources not necessarily provided in class (see first point...) Sometimes there may not even be a "right" answer.
Less rigid structure. In the land of engineering undergraduate education, there is ABET certification, by which syllabi must meet certain criterion in order for your department to stay accredited. These requirements don't exist at the graduate level. Classes often change depending on the interests of the students, and what topics people want to explore in greater depth. Some departments have certain "core subjects" that cover topics required for the qualifying exams, and these classes will not be nearly so free-form. On the other hand, specialized topic classes are often open to student direction.
Exam Review? What's that? See point one: your class is likely trying to cover vast quantities of material. You can review on your own time. (Note: does not seem to apply to medical or pharmaceutical courses, according to friends.)
Fewer classes at a time. Typically engineering grad student load seems to be 2-3 courses a term, instead of 5-7 at the undergrad level. Of course, it is very likely you are expected to be doing 40+ hours a week of research at the same time...
Of course, some courses will just be glorified undergrad classes. If you've been given the gift of a class with a very specific, closely followed syllabus, take advantage of that and get as far ahead as possible when you have research lulls, lest the daily homework thing catch you unaware until 30 minutes before the lecture.
On some levels, be glad for those classes. I did my PhD studies in Europe where there are no graduate classes/curriculum. On one hand, it's great to have no classes/HW/exams and you can really focus on research. At the same time, it's very difficult not to get stuck in your one little rut of science/engineering. You have to be very proactive in branching out on your own.
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