It's fun. I recommend it if you like FPSs and comedy. However, it's usually never good to go out on your own, unless you're Spy, Sniper, or maybe Scout, so work with your team.
Spy: Cloak, THEN Disguise. Otherwise, you'll give yourself away a bit. Never decloak where they can see you, unless you're disguised as their Spy. Disguise as classes that aren't expected to be doing things at all times, like Snipers, Scouts, or Engineers. They'll get suspicious if "their" Pyro isn't spy-checking, or "their" Medic isn't healing. If you can get a Dead Ringer, all the better. That will greatly increase your abilities. At the start of the round, it's sometimes wise to disguise as another member of your own team, just to put the other team off-guard for a little bit.
Sniper: Patience, patience, and more patience. Headshots are your friend. Also, watch your back for Spies, since you're a sitting duck while zoomed. Use your long range to your advantage to take out enemy Engineers' buildings. The slower classes are easier to hit, so choose a Heavy over a Scout, etc. Get rid of their Medics to help your teammates kill their patients.
Heavy: Get a Medic buddy, period. Protect your Medic buddy, period. Failing that, try to get a Sandvich. Otherwise, just shoot anything the other color, and soak up damage like a sponge. Target Medics if you see them.
Medic: Be a Medic buddy. Find a Heavy and follow him, healing him always. Change targets occasionally when other players need healing and your buddy can breathe for a few seconds. Be careful, though. If the other team sees you healing your buddy, you become the prime target to take out first. Remember that you can heal your buddy from around corners, so you're not in the direct line of fire. If you can't find a Heavy, try finding a Soldier, Demoman, or maybe a Pyro. If you want to be an offensive Medic (not usually a good idea, but it can work), try being part of a Double-Medic team with Ubersaws.
Pyro: Spy-check always. Try to set fire to teammates. If nothing happens, you're cool. If they catch fire, they're a spy. Fire somewhat randomly into thin air at times to possibly hit cloaked Spies. If you even suspect a cloaked Spy, fire into the air all around you. On the offense, it's more important to set fire to someone than to kill them. Your teammates can finish them off. If you want to finish them off yourself, learn how to switch quickly to your shotgun or axe. Watch for Medics, Dispensers, and Snipers with Jarate, who can douse the flames you set. If you want to be respected, learn to air-blast grenades, rockets, etc. back at who fired them. It's a bit tough to get, but your team will greatly thank you for it if you do.
Engineer: At the start, throw down a teleporter entrance right outside your spawn, then go back in for more ammo. Find a good choke-point, then build a sentry, then a dispenser. If you find a good, somewhat secluded spot, lay down your teleporter exit. Upgrade your sentry first and foremost. Then work on your dispenser, if you're defending, or teleporter if you're on offense. Always keep your buildings repaired and full. Be on constant look-out for Spies.
Demoman: Learn good sticky bomb placement, such as around doors and near choke-points. Practice your ballistics. Try to destroy enemy Engineer buildings. Practice sticky-jumping.
Scout: Be on the move always, or you'll die. Expect to die often anyway until you get good. Strafing and double-jumping are key. Use your speed to outrun everyone, other than other Scouts. Watch out for turrets.
Soldier: Practice rocket-jumping. Shoot the other team. Nothing too fancy about the Soldier.