Just as being less popular has caused other GNU/Linux software to add Windows compatibility, so Xfce has added some support for KDE and GNOME. Since Xfce has only a modest selection of programs compared to the most popular desktops, you will almost certainly want to take advantage of this support. Fortunately, Xfce handles KDE and GNOME apps better than either does each other's, despite the recent years of cooperation.
Unless your system is short of memory, you will probably want to go to Settings -> Sessions and Startup settings -> Advanced, and check the appropriate boxes to enable GNOME or KDE support when you log into Xfce. At a cost of making Xfce start more slowly, these settings will allow applications written specifically for GNOME and KDE to start more quickly. In fact, with these settings, you should find that native GNOME or KDE applications start almost as quickly in Xfce as in their intended environment.
You can also use GNOME applets in Xfce by right-clicking on a panel and selecting Add Items -> XfApplet. This selection opens a list of GNOME panel applets so that you can select one to add to the panel.
One of the easiest ways to learn more about Xfce is to select Settings -> Autostarted Applications -> xfce-4 tips. With this setting enabled, you will have a short tip about how to get the most out of Xfce each time you log in. After a few days, this feature will probably become a nuisance, but it is still a painless way to learn more about the desktop.
Xfce hasn't altogether outgrown its geekiness, as the technique for changing icon text shows. You'll find equally geeky tips on the project's Tips and Tricks wiki. But these signs of an earlier evolutionary stage are well-documented, and should not be overly intimidating for anyone adventurous enough to venture beyond the Big Two desktops in the first place.
For the most part, the tips here should be enough to help you solve your most pressing problems and to explore Xfce's unique features. Once you have configured the desktop to your liking, try using it for a week -- or, at least, long enough so that you are not just responding to the fact that you are finding differences and can judge features on their own merits.
Probably, what you will notice most is that Xfce is fast -- far faster than either GNOME or KDE on the same machine. Large programs like Firefox and OpenOffice.org open nearly twice as quickly in Xfce as in the other two major desktops, and even Evolution opens nearly as fast in Xfce as in its native GNOME. Once you get over the novelty of using a new desktop, that speed alone may be enough to convince you to switch to Xfce. But try it and see for yourself.