Irish heavyweights Leinster go into the Millennium Stadium clash in Cardiff as favourites for their second European title in three seasons.
But star man O'Brien believes there is no danger of arrogance creeping in, either this weekend or for next Saturday's Magners League final appointment with Munster in Limerick.
He said: "We have had a brilliant season so far and we are exactly where we want to be - in the finals of both the Heineken Cup and the Magners League.
"But we have nothing won yet and we still have it all to do.
"There is a lot of excitement about the place thinking about what we could possibly do. But if we don't win something, we will just be the same as everyone else - taking early holidays.
"We know what we have to do. We have to go out and win a trophy, it is as simple as that.
"I was only involved in the 2009 final (against Leicester) as a replacement, and I never came off the bench. So this Heineken Cup final will certainly be the biggest game of my club career.
"It is an absolutely massive day for the players, the club and our phenomenal fans. We know we simply have to perform for them as well."
Leinster, whose talisman centre Brian O'Driscoll has been declared fit for the final after limping off during last week's Magners League semi-final win against Ulster, have reached Cardiff the hard way.
Northampton boast a 100 per cent record through the pool stages and knockout rounds, and they will become the first team to go through an entire Heineken Cup campaign unbeaten if they lift the trophy.
But Leinster can reflect on toppling last season's Heineken Cup winners Toulouse, English champions Leicester, Tigers' fellow Aviva Premiership title contenders Saracens and two more powerful French clubs in Clermont Auvergne and Racing Metro.
O'Brien added: "We had massive physical contests against Leicester and Toulouse, and we did what we had to do.
"But now, the Saints will be a different kettle of fish with different challenges. They are playing good rugby.
"Way back when the pools for this season's Heineken Cup were drawn, you knew Saints would almost certainly be there or thereabouts at this stage of the tournament.
"They have quality throughout their whole side, and we face a huge physical task."
Northampton have not experienced such an occasion since 2000, when the likes of Pat Lam, Tim Rodber, Paul Grayson and Allan Bateman helped edge out Munster 9-8 in the final at Twickenham.
But they will become the first English club to be crowned European champions since Wasps in 2007 if they triumph and make amends for last week's Premiership play-off defeat against Leicester that ended their hopes of a trophy double this term.
"We are massive underdogs," claimed Saints' Irish number eight Roger Wilson. "People think we are just happy to be here, but it's about us proving them wrong.
"It's going to be a big step up. They (Leinster) don't have any weaknesses, and to win the game everyone of us will have to be at our best.
"Everyone of us needs to play the best game of our lives. It's within our capabilities, but it's a massive ask.
"Leinster's set-piece has improved massively. They've always had the backs, but maybe didn't have that killer instinct up-front. Now, they are certainly one of the top-ranked packs.
"But (prop) Soane Tonga'uiha has been unreal for us. His scrummaging is unbelievable, and he's all over the place making carries and charging down kicks.
"Perpignan have one of the best scrums in Europe, but we got on top of them in the semi-final. We have good scrum stamina - it's quite rare to have guys running around and scrummaging with that ferocity for 80 minutes.
"It's a big area that we will target, and hopefully we can get some dominance there. Hopefully, Leinster won't be able to cope with that."
Leinster: I Nacewa; S Horgan, B O'Driscoll, G D'Arcy, L Fitzgerald; J Sexton, E Reddan; C Healy, R Strauss, M Ross, L Cullen (capt), N Hines, K McLaughlin, S O'Brien, J Heaslip.
Replacements: J Harris-Wright, H Van Der Merwe, S Wright, D Toner, S Jennings, I Boss, I Madigan, F McFadden.
Northampton: B Foden; C Ashton, J Clarke, J Downey, P Diggin; S Myler, L Dickson; S Tonga'uiha, D Hartley (capt), B Mujati, C Lawes, C Day, C Clark, P Dowson, R Wilson.
Replacements: B Sharman, A Waller, T Mercey, M Sorenson, M Easter, S Commins, S Geraghty, J Ansbro.
Referee: Romain Poite (France).
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