My first time was in the summer of 1987. I didn't really *need* to see a provider back then - I was still young, thin, and had hair on my head. However, I was then, as I am now, terribly curious about all aspects of the "sex trade". So, I decided to give seeing a provider a try.
At that time, outcalls from ads in the Yellow Pages was about all that was going on. There was some info available via the alt.sex.providers Usenet newsgroup (where the term "ASP" comes from, in case anyone was wondering), but it was still sketchy.
So, I checked into a hotel in Atlanta, picked an ad in the Yellow Pages, and called. Arranged for a lady to come to my room. If I recall correctly (and there's no guarantee of that these days), the rate was $175. Until the lady showed up, I was nervous as anything. I had already heard the urban myth about hookers drugging their clients and removing their kidneys to sell on the black market, I was worried about getting ripped off, I was worried that all the ads in the Yellow Pages were a massive LE sting operation, etc.
The lady finally showed up, turned out to be very nice (luckily, she was more experienced at this than I was). Big surprise - her physical appearance didn't really match what I had requested on the phone or how the operator had described her. So, we did our session (would probably get a 5 or 6 on Performance by today's standards), and she left. None of my worst fears were realized.
So, what advice can I offer based on all this:
1) see an incall lady for your first time; you won't have as much time to get nervous while waiting around for someone to show up
2) see someone who is "well known"; if you haven't already paid for a TER membership, do it, and by checking reviews you can spot the "well known" ladies
3) try a massage session first; there's no pressure to "perform" if you're just getting a massage, and if you're worried about getting caught, you can always try the explanation "well, I thought it was just going to be a massage until she got naked and touched me THERE"; some well known massage ladies to try are Melody, Brittany, Tyler-Marie, Tara, Blondie.
Feel free to PM if you have other questions.