I don't know what the experience of religious conversion is like for Christians or Muslims (other than the ritual requirements being somewhat more simple). Prospects for Jewish conversion, including myself, are reminded that we are not only joining a group of believers, but we are also joining an am, a people, a family of sorts bound by a tradition and history going back thousands of years. While most communities, I think, are very welcoming of converts, there are still awkward gaps between born Jews and converts.
Except for cases in which the convert has a Jewish father and a non-Jewish mother, or was adopted by Jewish parents, the convert usually doesn't have a family history of Judaism or the experience of living Jewishly as a child. Sometimes, they come with an entirely different set of social standards (Protestant Time vs. Standard Jewish Time) and religious experiences.
There are some blessings in these gaps, like the [sometimes] privilege of being an interpreter to one's relatives and friends, as well as shortfalls. Sometimes it becomes tiring to explain why you're Jewish but you're family isn't to Jews and non-Jews, or to hear what people say when they assume your family is Jewish ("we have to watch out for [insert non-Jewish group]").
On the other hand, I certainly won't forget the time I was talking to a Lubavitcher chassid about the generational differences within my family. I told him that the custom of marrying young in many chassidic and Orthodox communities reminded me of my grandparents and parents, who married in their early 20s, and noted that my brother is 29 and unmarried.
He replied, "that is because your parents' and grandparents' generations really cared about the tribe." (Well, they do, I thought, but not like that…)
