What is the first session like?
Again, this may vary slightly among therapists, but typically when you arrive for your appointment you'll be asked to read and fill out paperwork. Some of this paperwork will address issues of confidentiality and informed consent about therapy. After you read about these issues, most therapists will discuss them with you to ensure that you understand this important information.
Your first session may just be a consultation where you talk a little about why you are seeking therapy and you and the therapist are deciding if and how to work together. Alternatively, your first session might be a more comprehensive intake, where your therapist asks you a lot of questions about your current difficulties and your history. Either way, it is certainly appropriate for you to ask any questions you have about the therapy: the therapist's expertise, training, and therapeutic approach, as well as office policies.
To conclude, remember it is normal to feel anxious when going to see a therapist for the first time! Do not let that stop you from seeking help. Just because you are anxious does not mean that you will stay anxious. In fact, most people calm down significantly within 10 minutes or so of their initial session!
*All client names/information are changed to protect confidentiality

