I have played Maple Leaf Rag, The Entertainer and another piece which I forgot.
For the Maple Leaf Rag, it's almost like an etude, your LH working non stop. The key here is control (well duh :p). You will find yourself practicing left hand more than your right hand, and more often, you'd find yourself trying to put your LH and RH together. The trio section is rather impressive, with a scary modulation, and LH jumping across the keyboard. I slow down when I reach that part, to emphasize the forte, and also because I can't play that section fast enough with the rest of the piece.
Also a thing to note, the way that it's in Ab flat major, when you play the piece, particularly secion B, you will realize there will be black keys popping up in 'weird' or 'unnatural' places, so it may make it more difficult to practice, especially staccato.
The Entertainer is slightly easier the MLR IMGO. There are still LH jumps, but nowhere near as dramatic as MLR. The syncopated rhythm, however is more emphasized in this piece. Not to mention the 3 note-octaved large right hand jumps in several places. I don't have much to say about this piece, it's all rather straightforward.
Remember, high class rags shouldn't be played fast, but it should be played energetically. Remember, faster doesn't mean more energetic.
Oh yes, I have also written on my score 'why not improvise?'
and I do so everytime I play it, adding a few rolls, changing the octaves, maybe a little swing, and so on.
Do it, it's fun.
Oh yes, have fun learning it, it's a great piece to learn and play.