Normal and Advanced are a bit too easy on the first two stages, while Expert is just absolutely brutal. Perhaps the difficulties make more sense for the other 18 stages, but right now it kind of seems like you have to go all the way or it won't be challenging.
A few notes:
1) I suck. Anybody that plays with me, be forewarned. But then again, I think everybody sucks at this point. There are a lot of common mistakes that I see.
2) Don't run ahead or scout too far in advance unless your teammates are ready. You might very well trigger an extra group of zombies and doom your group, or get sucked way out of the way by a smoker and screw your team over. Done both of those once.
3) Don't go anywhere near the cars at the end of the first stage, and don't hit them with bullets. If you do, you'll trigger a giant horde. I did that once, too.
4) Friendly Fire is far more difficult to manage in this than any other game I've played, and it's killer on Expert. There are a few things to keep in mind. First, DUCK so people can shoot over your shoulders, AND STAY CROUCHED. Don't stand up just to eat the last two hits of a semi. Second, SPREAD OUT, and watch your crossfire. I'm sure people will develop nice little charts of what's a good layout, and what's bad. Lastly, STAND STILL. If you run around, you're going to walk into some bullets.
5) Get a mic and use it. Don't be embarrassed about your horrible, horrible voice.
The game is absolutely phenomenal, but I'm not quite sold on the 'knocked down' system.
In the long run, this is going to suffer from one of the main problems with instances in MMO's, and that's the pairing of people with vastly different skill levels and experience. If you're not familiar with the strategies needed for a stage/difficulty combo, you'll probably end up getting a lot of scorn and nasty words from your teammates.
Coolest death? I threw a cocktail, but it hit a zombie nearby and burned our entire team. We were fucked anyways, so I don't feel too bad about it.