Also, and it sounds like you are, you need to be familiar / comfortable with limit orders or market orders. That sometimes can scare folks who are used to not-very-time-sensitive daily-priced mutual funds.
I'd just use market orders all the time except I'm a little freaked out about momentary (on the order of minutes) market freak-outs as happened a couple months ago. Limit orders priced at the current price (or 1 cent higher) is pretty much just my way of enforcing a sane market order.
http://www.businessweek.com/magazine/content/10_31/b41890509...
It's about commodity ETFs so maybe index fund or other ETFs don't have the same problem, but the message I got out of it is that there are plenty of unknown unknowns here.
Yeah, that sort of thing is what scares me about investing. I don't want to do it full-time, but it looks like there are tons of smart people out there who do make it their job, and are out to get you.