I experienced climbing on real rock for the first time today. Some friends from up the street and I went bouldering out at the sleeping giant park.
The appeal of rock climbing for me has always been the combined mental and physical challenge: what is the best sequence to get up the route and can you physically complete it? Not to mention avoiding freaking out on the rock, getting 'gripped' and managing the adrenaline along the way.
The physical aspect is largely ameliorated in the rock gym, at any stage you can relax and it is not a problem you either fall onto a soft mat or can just lean back on the rope. This is not the case when you are bouldering proper. This fact definitely hits home when your feet are maybe six feet off the ground and you really do not want to fall, but are not totally sure where you are going to put your hand next. Then you feel a little adrenaline, a little fear. It is a bit more intense than working the gym. It makes you more conservative about advancing. In the gym you can just throw yourself at something and if you fail it isn't a big deal, not always the case bouldering outside.
Another contrast between the real and the gym: The routes that are available are basically up to you on the real rock and are often times less defined, if you can find a hold and use it, then great. Nothing is marked except by other climbers' chalked hands. This is great for getting used to looking for holds in real rock. It isn't so great when the diversity of routes available in one spot are limited. The climbing gym is really great in that regard: many varied and rated problem sets in one small space. You do not necessarily get that on the rock.
There are practical things to consider too, the mud, moss and weather. Bringing jandals to put on after you top out on the boulder to avoid having to walk around in the dirt with your climbing shoes on. One or more crash pads to keep your ankles intact if you fall off, and some observant friends to spot you and stop your head hitting the ground in the event of an uncontrolled fall; some chocolate is nice too.
Overall climbing outside is fun, but at the moment I don't necessarily see it as superior to the rock gym itself. Perhaps with time my mind will change. I'd like to see what top roping outdoors is like...