No need to be nervous! I hate needles, yet I love going to acupuncture! As the other girls have said, be sure to wear pants that can go over your knees, or a skirt. When I forget, I just take my pants off and she covers me with a warmed blanket. Sometimes I purposely "forget" about the pants thing because the blanket is SO comfortable!
Before treatment, my acupuncturist wipes the areas she's going to work on with alcohol. Then she begins with the needles. If I don't feel it go in, she removes it, reassess where it should go, and then re-sticks. She said that you should feel a faint response, similar to when a doc tests your reflexes. It's very faint and quick, but I def can feel it! After the initial response, I don't feel a thing.
After all the needles are in, she turns off the lights and I lay there for about 30 minutes. It's quite relaxing! And if s/he wants to put a needle between your eyebrows, as weird as it sounds, go for it! It's for the "third eye" and "6th chakra"...my favorite point! (helps to alleviate stress, anxiety, insomnia, sinus problems to name a few)
Enjoy, and good luck!