Pace yourself. My wife and I took a class for the first time this weekend at the local rec, my wife kept on turning the knob everytime the instructor told us to, I believe in ten minutes she had efffectively locked up the wheel.

Bring both road and athletic shoes, or road and your pedals. At same class I was very surprised to find that they had not thought to purchase the spd or look on one side/cage on the others, I am sure some budget minded administrator saved a couple hundy on this choice. Luckily the shoes I wore to the gym were some old ratty tennis shoes that did ok in the cages. If we ever do the class again, I will bring my own pedals.

Oh, and that advice about where to set yourself up is spot on, right behind the hottie