I love spin classes! I usually wear bike shorts and a tech t shirt (I don't yet own a cycling jersey) and my spd-compatible cycling shoes, but if not, then just sneakers (I wore my running shoes for about 3 mos before I bought cycling shoes).

Bring 1-2 bottles of water and a small towel. For the first class, be sure to show up about 15 minutes early and tell the instructor it is your first class-- he or she will help you get your bike set up properly.

Etiquette wise, just make sure you wipe down the bike before you ride (for your own ick factor) and after (for the next person on the bike).

You can start classes no matter what your fitness level -- I was in terrible shape when I started. If you can't do what the instructor is saying, just sit, lower the resistance a little, and catch your breath. Just be sure not to take too much of a break -- push yourself, too! It was a banner day for me when I finally could follow every single instruction, and it took me about 6 weeks to get there, but so it goes.

You don't need a heart rate monitor, though they can be useful. Most instructors will give you a projected exertion level where you should be at at any given moment.

Most of all, though -- have fun!