What to expect?

There is nothing to be afraid of. Psychiatrist you are visiting already helped thousands of people. It is their job to make you comfortable. Basically he asks you questions and your opinions on subjects. It is like going to coffee shop with a friend.

http://www.docready.org/static/client/index.html#/home
Maybe this can help. While trying to find this again I saw a lot of helpful links on google, if you search "first visit psychologist " (or psychiatrist) you'll find a lot of experiences to help you figure it out, on top of whoever will share their experience here.

It depends on which psychiatrist you see. Each will be different and have their own methods of talking to their patients. I went to a private psychologist as I had a few personal issues to resolve that I didn't want to leave the room, and she was very nice. Most will listen to you and let you say what you need to, and suggest things for you to try, and ask questions. They're really relaxed and always friendly. Sometimes, depending on the case, they will suggest to go to therapy or other additional things to try to improve yourself. The main thing to do is to not worry about it, as they are just trying to help you and have your best interests in hand! :)