I've always loved a good RP, and have done then for maybe a decade, on an off, since joining the fandom. But the best way to put it is that it's a sort of interactive fiction, between two or more characters. I tend to write in small paragraphs, and sometimes longer paragraphs, but sometimes, just a few lines are more suited to what's taking place at any given point. In 'setting one up', I'll give an outline of my character, and we'll go over a setting, time period, and conflict, or 'plot', and generally, let things flow from there. Oh, and I also spell out any limits: even in a SFW RP, I'm not comfortable with too much violence.
I like it better than video-games because it's totally open ended, and anything can or might happen. You're writing the entire script. One key thing seems to be finding a person you 'click' with: sometimes, you just have this natural synergy with a person, and the story just seems to write itself. I like a mix of humor, adventure and romance; though my RPs have very serious things going on, they also have a lot of humor. It's very much helped shape and define my fursona, even the origin story of Simo comes from a story, adapted from a RP.
The toughest thing, for me, is finding people who can write well, and that you mesh with; and if anything ever makes you uncomfortable, just say so, and leave. Hope this helps.
Edit: Also, if you like to write, I find a RP is a good way to get out of writer's block, and practice in a fun setting.