In the spring I went to a bunch of spin classes at the 24 Hour Fitness in Tempe. Here's my suggestions--
1. get there 10-15 min early. people go and claim all the good bikes. the classes fill. if you want to do it, get there early, grab a bike, do some warm-up, stretch, etc
2. the bikes at 24 Hour Fitness have platforms with straps on one side, SPD's on the other. I used my mountain bike shoes.
3. I went directly to spin after work. I brought some old/cheaper bike shorts (~$40ish), put on gym shorts over them to walk to/from the locker room. I got some Nike Combat shirts on clearance from Nike.com that were awesome to wear. it gets super hot in the room so you want to wear as little as you can.
4. bring a towel and bottle of something to drink (water/gatorade).
5. if your gym as a pool, I highly suggest bringing a suit and doing an easy 4-500m swim after spin. I noticed a huge difference the next morning when I did this -v- just went home.
6. for your first class, I'd suggest you try to get a bike in the back and just go with the flow
yes spin instructors can be idiots, play obnoxious music. the best thing I've learned from it? standing up while pedaling. prior to spin I hardly did this. I still don't to it as much as I should, but I do it much more.