Graduated over 15 years ago, and don't regret it for a second - it wasn't an easy three years, but it was a good experience and has opened so many doors. I came from a very un-Oxbridge background (working class, rural, poor comprehensive that hadn't even had anyone apply in over a decade, and was from Scotland which meant I was 18-24 months younger than everyone on my course).
It definitely helped that I went to one of the more socially relaxed colleges. Having said that, the first year in particular is very tough - many (including myself) come from an environment in which they are one of the top fish in the pond with very little effort, to one in which they feel like they're barely in the pond, despite how hard they work. The pressure is huge, regardless of whether you do an arts or science subject (although the demands are very different).
What helped me was realising early on that I had a choice - to sacrifice my life, sanity and time to working towards a first; or to accept that I'd be happy with an 2.1 which would require me to work steadily and strategically, especially in the final two terms of the degree (I did a subject where entire degree class came down to my final exams, no coursework component), but would give me time to breathe and relax.
There's a lot of sense in many of the posts above. It's often a huge step up, but you do learn to cope. The first year is a shock to the system as you adjust to being in a very different academic arena, and the level of work that is expected (with less of the structure that you're used to at school). The mental shift to "it doesn't have to be perfect, this is as good as I can make it now so I'm going to put it down" is half the battle. Oxford was probably the making of me - it gave me confidence, opportunities and taught me that working smart was often as important as working hard!
@Hedgesparrow "Yes, when I say to people who went to a RG university I had to write 2 essays a week on a completely new topic, each with a reading list of 20-30 books or articles, with no relevant lectures to attend and no contact time other than the tutorial whereby you had to read said essay aloud to the tutor (sometimes one to one), they look at me as though I'm mad. It's not for everyone." This was basically my life for three years, and when you read it back now it sounds nuts!