I enjoy this feast day each year, perhaps because I'm a convert, perhaps because the event we recall is so mysterious.
I think what grabs me the most about Paul's conversion, or at least the way the story has come down to us, is the alternation of light and darkness. In every version of the story, (Acts 9:1-19, 22:1-16, and 26:1-18) the conversion event starts with a light, or "great light" that comes from heaven. In the first two accounts, the light leaves Paul blind, so that he has to be led by the hand on the rest of his journey to Damascus.
For me it articulates something so true about my experience of conversion and discipleship. God is on the one hand very luminous, an inviting Mystery Who is always there to be noticed, sitting below or behind or above (pick your metaphor!) my experience. The light calls. And yet, it's a very obscure kind of light, brilliant enough to beckon and invite, but hardly bright enough to grant what I would call understanding in any ordinary sense.
Perhaps that's what John of the Cross meant when he wrote about the prayer in which the the divine Presence appears as rayos de oscuridad, "rays of darkness."