Getting Planescape right: DMing Planescape for the first time

The first time I DM'd Planescape, the first adventure involved the main PCs getting picked up and held by the Harmonium for being too near somebody else's fight, as "material witnesses held for questioning".  There were some good and bad aspects to this.  First of all it would not have worked except that they were predominantly Lawful, and not wanting to resist what appeared to be authority figures in a new, strange city.  (BTW, it was foggy and dark when they arrived, so it wasn't until they got out that they noticed the torus shape of Sigil.)  I did kind of railroad them but I did a good job of showing many different and competing Factions running the holding area of the Ward; Harmonium, Minder, and Mercykiller turnkeys, Bleakers providing the prisoners' gruel and occasionally breaking one out, Fated and Guvner lawyers running around, etc.

Once freed (thanks to a 'generous' donation from an Athar 'bennefactor') they actually left Sigil suddenly and unexpectedly via a portal and became embroiled in several competing scemes in one of the gate-towns involving a possible border shift.  This I did a bit better.  Basicly, I was able to make the PCs feel like pawns on a chessboard, ones that could be moved by several players at once, but pawns nonetheless.  The big pieces were moving around too, but they mostly had to stay out of their way.  Without boring you with too many details, the main mission of the adventures involved running around Plague-Mort planting flowers, dealing with the locals and avoiding any one of half a dozen groups that are pursuing one or more of the PCs for various reasons, some of which were philosophical. 

I think these indroductory adventures had some very good elements you might like to try.  Making the PCs feel useful, but in a minor-piece-in-a-larger-game way worked really well.  Having several groups with competing, sometimes conflicting, agendas also worked, since the PCs could then make decisions as to which Factions/Sects they could line up with philosophicly.  Also, having variations within each of the groups was good, too.  The Chaotic Evil Cypher became a major nemesis for one PC, even th ough he became close to Cyphers in Sigil afterward.

In Plague-Mort they were 'hired' by a fallen deva to plant flowers and generally make the town a better place to live in a small way in order to anchor it, and keeping it from falling into the Abyss.  I think the border shift plot line is a good way to introduce new players to the power of beflief because it does not rely on traditional hack-n-slash to solve (unless it does).  I suggest you choose an interesting gate-town you like, or your players would like, and have them go there at the edge of a shift.  Their beliefs, and what they do to express them, either help keep the town on the Outlands, or help shift it.

Bedlam was a town that ended up being so much fun the first time around, I sent the party back on a bigger adventure.  I enjoy making NPCs, and a town like Bedlam is a fun place to do so for.  Characters go a long way toward making a town of barmies and addle-coves come alive.  In the spirit of sharing I'll do a run-down of the ones I used (in addition to ones from the PSCS);

- "The Mayor" The local Xaosotect Factor, everybody in town falls over themselves to make him happy, because when he's unhappy half the town burns down from fireballs and metior swarms.  Luckilly, he really is a friendly and likeable, if absent-minded, old fellow.

- "The Windlancers" Really only a single poweful bariaur paladin who thinks he's the captain of the town guard.   He will occasionally deputize PCs or random locals to help deal with major trouble.  He referrs to everyone as  either 'Citizen' or 'Troops' (note troops is always plural, even he's just talking to one person).

- "The Master of Disguise" A barmy beholder, who telekineticly carries clothes under him to mimic humanoids.  It doesn't think anyone can tell the difference, even though its 'head' is ten feet wide.  Its a pretty good tailor though, and 'mimics' other folks in town, staying in character.  It also dresses up as a few unique individuals, or people it already disintigrated.  Its most dangerous personality is 'Big Hat', one of the bosses of the local criminal underworld.

- "King Rat"  Wererat.  Owner of 'The Werehouse', a gambling den for lycanthropes, where they only use silver coins.  He thinks he really is a king in a grand palace, and his people humor him.

- "The Emperor of the Dead" Vampire, dustman, and town undertaker.  He also runs 'The Emporium', a massive pawn-shop where he sells and trades trinkets taken from his 'clients' as town undertaker.  The Emperor and King Rat hate each other, since each think Bedlam is HIS kingdom/empire.

- "Dominique" S&M Vamp and Sensate, who worked for the Emperor, but was scheming as much as an under-spawn vampire could, to supplant her master.  Yea, some parts of the adventure got R-rated.

- "The Rainbow Slaad" Rennbu.  If you don't know who that is;  An extremely powerful Death Slaad, most poweful of the race, can herald a particular aspect of chaos and become a unique slaad.  Rennbu became master of change.  He has the unique ability to change another slaad's color (and therefore powers) by touch.  He can also change the color of anything (or anyone) else he touches.  Generally this doesn't affect a non-slaad's ability scores, but it can be anywhere from embarassing to downright dangerous, since he enjoys turning drow int o light-skinned elves, red dragons' scales silver, etc.  Oh, and as a unique slaad he's about as tough as a demon lord, so good luck stopping him from 'redecorating'.

- "The Druid"  Bariaur druid who has a large house turned inside out.  The interior is a lush garden.  He occasionally allows travelers to sleep for a fee, though he only accepts useful items in barter.  'Batty Beni' Bornehoof believes that he's the gardener of the grounds outside an insane asylum, which evidently includes the rest of the muliverse, since he won't leave Bedlam.

- "The Priestess"  A rakshasa venerator of all powers who ran a shrine dedicated to all the gods.  Basicly I was going for an evil Godsman, but since the party didn't deal with her too much, she never really got fleshed out. 

- "The Turnkeys"  In my take on Bedlam, I had the upper and lower towns separated by a major wall, patroled by doomguard.  It could be bypassed by either going through the graveyard and town quarry (dangerous), or through the tunnels, a slum for underground-dwelling races that has a branch of the styx flowing underneath (dangerous).  The Doomguard controled who stayed down in the really barmy part of town by the gate and who got up into the semi-sane society of the upper town and citadel.  Of course, as Doomguard they believe in Entropy, so that's what guided their decisions about who got to pass in which direction.

- "The Misguided" Actually a general term for good samarans and vigilantees around town. Ones that help the Captain get called "Windlancers".  Really, they need all the (PC?) help they can get in a place like Bedlam, but there are a surprizing number of helpful berks even here.