Part of the enjoyment of playing a Sabbat character can be the development of the character's own sense of morality. It is up to you to search out meaning for the character's existence. You should not play a stereotypical evil vampire, but should ask yourself questions about what it would really be like to believe oneself superior to humans and to be required to feed upon them or die. From these two aspects alone you can get many hours of entertaining roleplaying. Happily, there are few guidelines. Each player is encouraged to seek the answers in her own individual way.
Please keep in mind that Sabbat are much more inclined to combat than Camarilla characters. It is up to you to decide just how attached you want to get to the character, since there is a good chance ther character will quickly die the Final Death. If you are uncomfortable with this, you may wish to work with the ST to assist you in a less-combative style character. If you do not mind the violence, you will have many opportunities to liven up the game.
Another thing to think about when you play is the paradoxical relationship between loyalty and freedom. You are encouraged to see how far you can take both aspects. Try to avoid what could be considered disloyal behavior since, due to the harsh standards imposed by the sect, the character would most likely be destroyed if she became a traitor.
Also keep in mind the Vinculum bonds and their effect on the character's mind. You should often encournter problems where the chareacter is forced to act against her better judgment due to these Blood Bonds. The game can be greatly enhanced through portraying the character as externally free, while at the same time a prisoner in her own mind.
Playing a Sabbat character is much like playing a Camarilla vampire. The major difference is that Sabbat accept their vampiric natures and thus do not try to act human. This can lead to many problems when you start playing, especially since part of what may have attracted you to the game is the tortured, tragically hip angst of humanity within the Beast.