I taught an hour or so in my advisor's strategic marketing class tonight on strategic pricing. This is good experience, because our program does not emphasize giving us teaching experience. But it poses some challenges that teaching your own class does not. Obviously, teaching an entire course is more challenging than doing one lesson, but teaching one lesson in someone else's class is more difficult than teaching one lesson in your own, I think. Part of it is that the class may have been designed in a way you wouldn't have chosen. They do different readings, or you would have organized the material differently.
The bigger challenge, though, is that the class already has an established dynamic. They know how much reading they have to do. They expect a certain level of (in)formality. They come prepared to surf the web or to do group work. If they like the professor, they could resent having you (especially "just a grad student") instead.
If you are a regular guest lecturer, there to tell your part in the thrilling exploit of the Tuition Scandal of '99, the pressure is off a little because you can be a talking head. If you're expected to incorporate exercises, use good pedagogy, and demonstrate your potential as a future colleague, a higher level of performance is demanded.
All that said, it's still far better to learn to deal with one class session at a time before attempting to design and teach a course all in one go. However, there are ways in which the dynamic doesn't quite replicate the full teaching experience.