High fantasy RPGs tend to be set in an era similar to the late Middle Ages. This seems to be the norm for D&D, and it seems to be what players of such games expect.
Let's say you have a group of players used to this type of setting. Your new game is set in the Iron Age among the Celts and Germanic tribes, somewhere between 800 and 200 BC.
What's going to be the most jarring aspect of the setting for these players?
Things I would emphasize in an Iron Age setting:
Lack of information. In medieval settings, while peasants might know rather little of anything beyond the next town over, scholars at least have a pretty good idea of "the big picture". Just one example: Maps of the continent you're on exist, and while usually being pretty bad as far as scale is concerned, are more or less correct on the existence / non-existence of things. For an Iron Age setting, assume that any map - if such a thing even exists - has significant areas of white, and would have a very high chance of being simply incorrect. This need not be the "sailing off the edge of the world" thing, but more the general uncertainty of things. What's beyond those mountains? Dunno, no-one ever bothered to find out. There be dragons, me granny said.
Unrefinedness. No Sword Dancers, Duelists, Samurai, Warrior Monks or some such, but a more basic selection of Fighters, Rogues, Thieves. The same for magic user classes: Nothing refined and elaborate, but magic on a more fundamental level. Little use of quick spells or power words, more use of elaborate hour-long rituals and meditative trances. (See next point, too.)
Superstition. While most medieval-setting RPGs handle magic quite casually, in an Iron Age setting I would picture magic as thing of the gods / demons / the devil. Reverred shamans or healers, dreaded conjurers of demons, and very little in-between. If you allow magic-user PCs at all, any overt display of magic would be a "big thing", and could get them in trouble any which way: You might end up with a mob on your heels. Whoever is in power will want you on his side, or dead. Any way, you will be perceived as otherworldly, shunned, avoided, whatever. This might be taken to extremes, with magic being from the gods or demons, and wielding it being possible only to those being in servitude of either power (with all consequences). What will not happen is that you're accepted as "a guy with a different set of skills", or casually visiting the local magic library. If you have magic, you either set yourself up as the local shaman or priest, seize power and become the bane of the region, or you take pains to keep your magic subtle. One open incantation, a single fireball in front of witnesses, and you're blown, my friend.
Item availability, prizes and monetary system. Some things are simply unavailable in certain areas (perhaps even utterly unknown), others hideously expensive. (Cloths, jewelry, certain metals / alloys, certain tools etc.) Money exists, but barter is still the rule, especially in rural areas. (Money isn't the ubiquitous commodity, but still actually seen as, literally, "a chit from the king".) Few or no settled merchants, trade mostly being done by peddlers. (Personally I recommend "...and a 10-Foot Pole" from I.C.E., which has price / availability lists plus economic background information on everything from stone age to post-modern.)
Edit: And one thing I completely forgot, and rediscovered only when perusing the Rolemaster material on the subject...
Slavery.
Transscribing from RM material:
In a primitive (stone age) society, people live on a subsistence level, as hunters / gatherers, slash & burn farmers, or fishers. There is both little need and little space for "having slaves".
In a feudal (medieval) society, slavery might still exist (and did, in our world), and many live in slave-like serfdom, but most people are "free".
In an antique (iron age) society, however, slaves can make up a substantial percentage of the populace, to the point of actually being the majority. This will certainly color the environment, and makes "runaway slave" a background option worth considering.
Depending on what you mean by Iron Age but I got the impression it was Roman Republic/Empire times: Make them all read Beowulf which is essential reading, De Bello Gallico by Julius Caesar paying attention to the Gauls, and some myths and legends. Of course, Asterix et Obelix are a must read. Film wise, Centurion and Beowulf and Grendel are both well worth a watch. This should give them a good feel.
What would someone find most jarring from a late medieval period? Everything. It is an utterly different setting with nothing in common: technology, sciences, engineering, warfare (including arms and amours), politics, social, religious, and culture are all very different. Not only the list of differences is long, the nature of "most jarring" is personal therefore only by offering your players a set of references (some more historically accurate than others) will they find out what is jarring to them.
Oh, and I did not even go into magic, myths and legends...
Note that of course there are similarities as well but those should be obvious to everyone. Yes, fauna, flora, human nature, physics, ... yadda ... yadda ... will be similar.
Many tribes in western and central Europe were very superstitious, they had very particular ways of doing things and rarely stepped away from tradition and ritual. Some of these traditions are still paid tribute to even today, like the Green Man festival near where I live (not to be confused with the green man music festival) celebrating the rebirth of the horned god and the coming of a new season; the event has been held here since 1327 and before that was celebrated all around North Devon. Pagan worship continued in the southwest of England; evidence of this is within the Cornish and Devonian churches from the middle ages; they still depict pagan and Celtic imagery, for example the church near me has the green man on the top of each column.
There were many different pagan belief systems in the iron age, and gods were extremely important to every day life. This meant that people gave offerings and sacrifice to appease their gods so that the harvest would be successful, they'd live a long life and general well-being. In the later Iron age Christianity is starting to take hold of the western world with many tribes and peoples adopting (or adapting) the Christian faith even some of the Vikings and Anglo-Saxons converted.
Ore mining was not very advanced and neither was smelting, a lot of metal could be temperamental or brittle, iron rusts and bronze blunts quite quickly so weapons would have a shorter shelf life than those of the high medieval period, where steel had become commonplace. Also, in Celtic/Gaelic culture armour and weapons were often not a means to an end, but a family heirloom. Cornovii and Dumnonii were very fond of their swords and axes and decorated them with as much art as they could fit on it as well as naming them.
Steel actually dates back to around 1400BC but was a rare and very exotic, for a western European steel would not be something you'd have, whereas if it was iron age middle east or Indian sub-continent there would be Damascus and wootz steel.
Many Britons (especially southern tribes such as the Cornovii and Dumnonii) would not have worn armour, instead symbols and blessings from elders and druids would be their protection. Chariots were common place in Briton and were traditionally preferred to cavalry they were constructed out of wood and were usually a 4 wheeled box shape, chariots made excellent platforms for archers to shoot from or warriors to throw javelins/spears from.
There is a vast array of mythology and tales that have been written or passed down through song or spoken word and then written down by many European peoples.
The Germanic tribes (Saxons/Vikings etc.) forged armour and weapons differently than many of the other iron age nations would have done so, and they could also make steel. Their helmets (spangenhelm etc.) were also harder to cut and smash through because of their shape and construction.
Well, there's two different contexts in which to take this question. Most D&D games don't really run authentic late Middle Ages, they run a cleaned up, idealized, 20th century infused view of it, where families live in nice little cottages and there's glass in all the windows and there aren't kids dying of disease and starvation all over the place and the like. But it's not just lower standard of living; also a lot of the real science, banking, law, and such that was emerging in the late Middle Ages tends to be ignored for simplicity in games. Real late Middle Ages would be as shocking to the average Forgotten Realms player as any other age, mainly because of the profoundly different mindset of cause and effect they held.
So is the question "how is Clean Fantasy Iron Age different from Clean Fantasy Medieval?" The answer to that is generally just the armor/weapons and local color like painting faces blue and more hillforts less castles.
Or is it "how is Authentic Iron Age different from Authentic Medieval?" That's an interesting question, and they are very different in some ways but similar in others. The Hallstatt and La Tene Iron Age cultures (two different eras for the Gauls within the 800-200 BC range you cite) were increasingly influenced by the Greeks and traded for luxury goods from the Mediterranean and, through fundamentally tribal in nature, also had larger scale government in place and surprising political complexity as explored by Caesar in his commentary on the Gallic wars. Romans came, Romans went, and over the course of the Middle Ages "tribal but influenced by the Romans" wasn't that different from the Iron Age. In fact, the larger political divisions were coopted by the Romans for rule and later by the Church for ecclesiastical boundaries.
The ubiquity of Christianity (usually absent in Clean Fantasy Medieval of course) is the single biggest change from the animistic and less theological worship of the Gauls - though note if you're running "D&D worlds" they tend to be polytheistic and whatnot anyway, so there will be much less differentiation along this axis. Also, the learned "druid" class was in charge in Iron Age Gaul, which in practice is pretty similar to having the Catholic ecclesiarchy in charge. There is more sacrifice (including human) and belief in "superstitious" signs and omens (though again, this was in actuality just as common in medieval times, though unusual to us moderns).
There's not as much construction (large ruins, constructed dungeons, 300' towers, etc. will be largely absent) and cities are smaller, life is more rural and agriculture less developed, so less "farms and big castle" and more "village with hillfort and hunt/gather/small farms spread out around it." Literacy is less widespread than late medieval/D&D (though about equal to real Early Middle Ages).
Combat is frequent though usually tribal in scale so swords are common; real Celtic combat was Greek influenced and used phalanxes, chariots, and bows.
So the short list of things one would see at first glance:
What stands out? The lack of steel weapons and armor means that those items should be made mostly of bronze, with the best weapons being steel - accidental steel, at that.
Iron is both soft and often brittle - especially by comparison to steel. This makes it substandard as armor, being prone to bend easily into the wearer, and to fracture open. Iron weapons bend easier, and are less springy than steel, and when hit right, crack. Swords are still heavy bladed, often thrusting weapons. The rare steel weapons quickly become legendary for damage to armor and weapons. Iron also rusts easier than steel, and is more compromised by rust than bronze.
Some areas routinely produce steel weapons - their production techniques get the needed carbon in to te steel..
Horses are ridden, but generally no stirrups are used. Horse shoes are potentially available.
If in historical settings:
Christianity is just coming on scene in the late iron age in Europe, India, and the Middle East.
Steel is already in use in sub-saharan Africa, due to the nature of their metal working.
