I started my pilgrimage in 1988 with one week of San Fermin debauchery. Needless to say, I don't remember much. I did spend my time studying how to run with the bulls and screwing up my courage to join in. Finally, on the last day of the festival, with intentions of running, I overslept and missed my opportunity.
The hike out of Pamplona was sobering, in more ways than the obvious. I was leaving a crowded, hyperactive city and heading out to spend my time alone in the empty countryside of Spain. The real transformation came about midday on the first day hiking when an older woman, hanging clothes on her backyard clothes line yelled, "Hola! Peregrino!" and offered me a glass of water. From that point on, I was a American backpacking through European capitals no longer...I was a pilgrim.
On a more practical note, during San Fermin, be prepared to sleep outside, in a park, for example, and pay a few bucks to store your pack inside at night.