Many people procrastinate getting the help that they need. They will want to see a therapist and will think about it for years and finally end up doing it. That may just mean that they weren't ready until they actually made their first appointment. It is normal to feel apprehensive about starting therapy. Many people feel this way in the beginning and tend to have cold feet about getting started.
I like to describe therapy similarly to going to the gym or sweating. You are basically releasing toxins and endorphins from your body by sweating and with talking, you may experience the same cathartic feeling/release. Many people have expressed feeling much lighter after their first therapy session. When we talk, we are releasing a lot of feelings and emotions that we've held onto internally for years. It can be a tremendous relief to be able to let go of these feelings through talking.
It can also feel good to talk out-loud and hear yourself speak. When you do that, you are processing things differently than you would by thinking about something in your own mind. You may also not feel as isolated as you would in thinking about things on your own.
During the first session, the therapist may go over what is to be expected from the session, your rights and limitations towards confidentiality, the duration of the session, important policy information, and may have you sign some documents such as a questionnaire and/or agreement document.