I would suggest bike shorts and a wicking shirt or tank (as you will sweat), SPD-compatible shoes, a 20-ounce water bottle, and a small towel.

Arrive at your first class early if you can and ask the instructor to help you set up the bike. If and when you get it set up to your liking, make note of the specs so you can quickly set it up again in the future. If something doesn't feel good as you spin, feel free to jump off the bike--even during class--and adjust it.

During class, I would suggest just taking it a bit easy at first. If anything the instructor suggests hurts or just doesn't seem "right" for your body, don't do it. For instance, my knees don't like jumps, so I don't do them. Some instructors are better than others. Just remember that it's your class and your body. If you use a heart rate monitor, it can be a good tool during spin class.