The way the stylus lays down marks in photoshop has a certain 'feel' to it; in the same way that you could say painting with a brush has a different feel than drawing with a pencil. Unlike these traditional tools, you can customize the way your stylus 'feels'. Do you have a soft or a light touch? This video expolres both the Wacom Tablet Properties, as well as 3rd party software designed to customize the stylus experience.
Update 1/29/2012: Apparently the newest Intuos 4 drivers have addressed this issue! Make sure to get the newest drivers if you have an intuos 4.
And reader Dado Almeida brings up a crucial point about tablet wear & tear:
"[This is] really important stuff to know if you deal with a Wacom stylus in the daily basis. Using a hard grip, for months, in the same spot of your Tablet surface could dameage the cover plastic faster. Have you noticed how the center area of our Tablets are more scratched? To make my experience with the Wacom smoother Im using this tool + a protection plastic (those used in the iPad screens) to cover my little Intuos. This way I can change the cover from time to time without any damage in the original surface."
And, as a reminder, this is unofficial software. It might not give you the results you're looking for. If you have a problem using it - or it screws something up - you can restore the factory defaults by re-installing the Wacom drivers. Good luck, and have fun!