I grew up Baptist and had never heard of a Maundy Thursday service either. Perhaps it was too Catholic.
However, it too, is now one of my favorite services of the year. There is a "solemnness" to the service, as we remember the Last Supper and what is to come to our Lord in the coming days. We are asked to enter the sanctuary quietly - not the usual banter that goes on during a Sunday morning.
There is a lot of symbolism as well. There is a large cross on the pulpit, draped in black and at the end of the service, the "Christ candle" (which has been lit since Christmas) is extinguished representing the death of Christ. We leave the sanctuary quietly, in solitude, in near darkness - remembering what our Lord did for us.
On Sunday morning, the cross will still be there, but it will now be draped in white and the "Christ candle" will now be lit - representing to all that our Savior has risen from the dead. "Christ is risen. Christ is risen indeed."