Eating an interactive meal at the sushi bar is a dining experience unlike any other. In no other situation (that I can afford or have heard of) does the chef prepare custom dishes for you (or tasty morsels of fish, as the case may be), right before your eyes, and then watch you eat them while eagerly anticipating a pleased reaction.
Personally, I find the whole thing to be a bit daunting. For me, eating at the sushi bar is always a catch-22*. On one hand, you have access to the best and freshest fish the restaurant has to offer, including items that may not be on the menu or that you may not have known existed. On the other hand, having the chef stare at you while you eat is not the most relaxing experience. Also, for the budget-conscious, this type of dining is not really an option. Given a menu and a table, I generally spend $30 on a sushi dinner, including tax and tip, so ordering enough of the chef's finest to get full is not much of an option.
Generally, I like to eat at a table in order to have a private conversation, not have my reactions to the food observed, and to know how much my selections are costing me. Sometimes I just want a California roll (or some unexciting equivalent that I am not allergic to), and sitting at the sushi bar makes me too self-conscious to order such a thing. A discussion with a sushi chef at The Hump, whose name was Musumu, revealed that while in Japan they do not generally eat rolls other than cucumber, pickled plum, and tuna, many Japanese visitors to America (and residents, I presume) love all the different varieties of rolls. Lesson: ordering a California roll is not blasphemy in the eyes of all sushi chefs.
My desire to sit at a table and not necessarily eat the most exciting things available may brand me a sushi heretic, but I find the experience more relaxing. Under the right circumstances, though, pulling up a stool at the sushi bar can be quite a treat. I particularly enjoyed my experience at The Hump.
For more on how to enhance your sushi experience:
Escaping the Teriyaki Chicken: Amy's Guide to Sushi Etiquette
This is a link to an excellent article on how to have a great sushi experience. It also contains a guide to sushi etiquette, a list of restaurant recommendations, and a cheat sheet of less common fish offerings for the aspiring sushi aficionado. It's long, but a very worthwhile read.
* A book I am fairly convinced I will never read, having tried and failed twice to get past chapter seven.