Honestly, I'm not too sure what I expected in the beginning. I know that as I prepared to enter the Mirror of Twilight the first time, I really expected to be turned into a wolf again. I was quite surprised to see that Link remained in his human form. I was also surprised to see the Twili in beast form. I thought they were enemies at first glance.
As far as appearance, I did expect the Twilight Realm to look similar to Hyrule Field when it was covered in Twilight, with a dimmer color and the dark flecks that blew around. I knew a little bit of what it would look like beforehand, because I had seen a couple pictures scattered here and there. (Mind you, I was a bit late to the Zelda series.) I honestly expected the Twilight Realm to be bigger. I was disappointed to see the floating islands that were unreachable.
I also expected the Twilight Realm to be almost the complete opposite of Hyrule, which it really wasn't. I believe it was Midna that said the Realm of Twilight was the "antithesis of Hyrule," meaning, "the opposite of Hyrule." In this sense, I was expecting a more barren land, but one that would perhaps be more colorful than it was. Not necessarily bright, but more colorful.