Agree with everyone
By all means, get there about ten minutes early, introduce yourself to the instructor, and ask him/her to get you set up properly on the bike--primarily, your saddle height and the fore/aft adjustment of the saddle. If these are incorrect, you run the risk of damaging your knees. Along those same lines, make sure that you always have some resistance on the flywheel. Riding with no resistance results in the flywheel pulling your legs through the pedal stroke. That will also damage your knees.
Wear comfortable clothing (padded bike shorts if you own them). You will sweat a lot, not necessarily because of the workout itself, but because there is no airflow over you to evaporate the sweat as would happen if you were riding out-of-doors. T-shirts will get wet and heavy, so opt for a workout top that wicks moisture away from your body. Sit near a fan if you tend to sweat a lot.
Your instructor will probably mention that 30 minutes is not unreasonable for your first class. Your comfort on the bike (mainly your butt!) is going to be the biggest limiter. Don't feel awkward about doing your own cooldown and stretch while the class is going on. People don't need to know that it's your first class; they'll just think you have to leave early.
If you get bitten by the bug and decide that this is your new favorite form of cardio, consider getting a pair of cycling shoes. The stiff soles give you more power out of each pedal stroke because the energy is not wasted on a flexible sole of a regular crosstrainer-type shoe. You can also get SPD cleats on the shoes to allow you to clip in to the pedals. Most, if not all, spin bikes have SPD pedals. With your foot strapped into the pedal, you can only really get an up-and-down pedal motion going, but with clipless, you can really work the pedal stroke for the full 360 degrees.
Sorry, this got long. Have fun at your class!
