Before I get into the actual topic, I want to point out that most of the content of this podcast was not actually about how to play in an established setting. It was mostly about how established settings kick you down a slippery slope to badwrongfun. I get that Dan has gotten burned at least twice. But, there was a very dismissive attitude that put Pat strongly on the defensive, and had Wayne trying desperately to bridge gaps.
Most of the problems that they point at for established settings are actually just straight-up bad GMing. Railroad-y plots, godlike GMPCs, and heavy de-protagonization can happen in any game. Established settings tend to exacerbate some of these issues, but a good GM can easily leave them behind.
Why Do I Want to Do This?
Established settings do have a number of significant benefits, right out of the gate. First, as was allowed in the podcast, they can be used as gateways into the hobby. Find a fan of the setting, and offer to run a game. The barrier to entry drops significantly. Second, established settings come with The Cool(TM) and The Awesome(TM) already baked in. Professional writers have put something together that you and, presumably, your players have already responded to. If you are playing in a homebrew setting, then your first task is to communicate why your players want to play here. You have to hope that your world-building and story-crafting skills are up to the task. Using an established setting skips that step, and those worries, again lowering the barrier to entry. Finally, established settings give common points of reference. When you are in a Star Wars game and you say "A star destroyer drops out of hyperspace off your port bow," you don't need to add any more description. The players know what it looks like, and what it means.
What Do I Need To Watch Out For?
Now, established settings do also come with some drawbacks and pitfalls. The biggest drawback, as mentioned on the podcast, is that canon can start getting in the way of story. Again using Star Wars as an example (it's easy, so I'll keep doing it), if the PCs meet Darth Vader, are they allowed to kill him? If they are, it can "mess up" the setting. If they aren't, it can really put the damper on their story. It's generally a fine line to walk. Diverging too much from canon waters down the setting, neutralizing most of the benefits you are getting from it. Sticking too close to canon relegates the characters to spectators. I'll talk about this some more in a bit.
The other massive drawback is player knowledge, and especially disparities in it. I have been in games where I had only a vague notion of the setting (Forgotten Realms at the time), and one of the other players was an expert. The simple fact that he was seeing nuances and jumping ahead of the descriptions was breaking my fun. Now, keep in mind that this can happen with any campaign, where you have a new player joining and the existing players have deep knowledge of what is going on. The one situation that can be unique to an established setting, though, is that one of the players can actually know more about the setting than the GM. Personally, I simply wouldn't allow that to happen as a GM, because I wouldn't run a setting that I didn't know well enough to be a setting lawyer myself. Others, especially when running a con game, might not be so lucky. These issues can be overcome. The easiest way to overcome them is to enlist the assistance of the super-knowledgeable player. Have them play a character for whom knowing things is what they do, so that they can bring in player knowledge and spout it freely to the other players. Encourage them to help you, as GM, express the world. But, also, put your foot down before the game even begins, and make sure that this player knows that you have the freedom to change any and all details. Assuming that you know things that your character shouldn't is likely to get you killed.
A Couple Tips To Get Going
How do you use an established setting well? First, as always, talk to your players. Set up some baselines of what you expect, what they expect, how close to canon you all want to cleave, and so forth. There really aren't any "wrong" answers here. If your players want to play Luke, Leia, Han, etc. and run through the plot of the trilogy, then have a blast! So long as expectations are set before play begins, actual play sticks pretty close to those expectations, and everyone is generally okay with those expectations, it's all good. (Oh, hey, this sounds almost like good advice for any RPG group ever. Go figure.)
Second, I strongly recommend playing at one remove from the plot of the original story (assuming you are playing in a setting that has a story, like a movie or novel). Again, using Star Wars, avoid being directly involved in either assault on the Death Star. Don't actually meet the main characters of the movies. But, have that plot be going on in the background. Your characters are involved in all of the other stories going on in the universe. Play Bothan spies trying to get the plans for the second Death Star out. Play rebels charged with getting loyal Senators to safety after the Emperor dissolves the Senate. If more systems are slipping through Tarkin's fingers, play the people doing the slipping. All of these stories are going on in the background of the movies, and all of them are ripe with adventure seeds. But, by not directly intersecting with the main plot of the movies, you don't have to worry about "messing up" the setting. Assuming that you don't do something crazy, like blowing up Coruscant, the movies still turn out just fine. And, your PCs are one of the groups cheering and partying at the end of the revised Return of the Jedi. Because they just managed to ferret out a ring of assassins and save the life of the current Queen of Naboo, in addition to celebrating what those pikers near Endor did.
Make sure that when you are using an established setting that you use it. That's why you're there in the first place. If the players run up against a bounty hunter, pick one of the ones that was on the star destroyer getting the briefing on going after the good guys. (One of the advantages to using Star Wars is that places like Wookiepedia have endless wells of information for you to tap.) If they need to make a pit stop, have Bespin be the nearest city. Use the heck out of wookies, twi'leks, jawas, etc. before you start making up your own races. The players want to feel immersed in the setting that they came to play in. Changing the setting to be your own vision can be as jarring as moving from the original BSG to the new series.
Hey, Who Left That Canon There?
I said earlier that I would come back to the topic of working around canon. There are a number of suggestions to be found out there about it. A common one, especially lately, seems to be to start the campaign off by deliberately derailing the plot of the original license. Luke totally failed to blow up the Death Star because Han Solo didn't come back, and he was killed by Vader. Now what? This does a lot to send a message to the players that the gloves are off, and this is their story now. But, it may also come across as a bait and switch. "I know I said we were playing Star Wars, and you all made your characters for Star Wars, but I actually want to play my bastardized fanfic version of Star Wars." That may not be the case at your table, but you need to make sure it won't be case before you throw that switch.
An easier way to work around canon is simply to have it progress normally unless the PCs choose to interfere. If they head to Bespin and ambush Vader when he lands, killing him and all his troopers, then the story diverges at that point. Or, if they choose to kidnap Han Solo right after the medal ceremony on Yavin and deliver him to Jabba, that's where the story diverges. Then, run with things from that point. You already know what the plans of the bad guys are, because you've seen the movie. It shouldn't be hard to extrapolate the changes. (Though, as a caveat, communicating to new players that it is okay to do this can be difficult.)
As a final method, simply move the game well away from the canon. Have it start up right after the movie ends, or twenty years before it starts. Have it happen on a different planet (in a different kingdom, etc.). If you want to get really challenging, have it happen in a weird parallel, in which the plot is going on right over there, but your characters don't want to get involved. (E.g., one of the characters is the guy who points out the Falcon to the troopers at the beginning of New Hope. That guy, along with his party, is transported to the Death Star to get rewarded. They witness the shoot-out in the hangar bay. They leave the Death Star when it heads to Yavin 4, getting free just hours before it blows up. Stuff happens, and they happen to be on Bespin gambling when first the Empire and then the heroes show up. They are back on Tatooine, hanging out in Jabba's den, when Luke shows up and kills everybody. You get the idea.)
Established settings have a lot to recommend them. They are cool (because nobody chooses to play in the lame ones). They are easy to convey and grasp. They have ready-made hooks that the players will seek out. They have ready-made details that can save the GM some work. So long as you can avoid the temptation to turn it into a one-man play acting out your fanfic, you can get a lot of mileage out of it.