Plan to wear comfortable clothing that stretches, and wicks moisture (similar to what you would wear for a workout at the gym). If you don't own workout gear, just wear comfortable clothing that allows free movement while maintaining coverage. You will need a yoga mat. Most studios and health clubs have them available for use free of charge. You will eventually want to have our own mat for sanitary reasons.
If you plan to go to a yoga studio, plan to get there at least 15 minutes early. You will be filling out paperwork, specifically, a new student form (contact information, emergency contact, health/injury history, yoga experience etc.) and a release form (releasing the studio from any responsibility if you are injured). This is all standard procedure.
Once you are in the room, take note on how others are setting up their mat and set up accordingly. Don't be afraid to be in front, you will want the teacher to be able to see you so that corrections/adjustments can be made. Find the teacher and introduce yourself. Let him/her know that you are new and about any injuries/limitations you might have. By all means, ask questions!
Now the class has started. My best advice from here out is to listen to the instructor and follow along as best you can. Some teachers will use sanskrit (the ancient root language of India), others will not to describe the various yoga postures. Don't be intimidated by the sanskrit, it is simply a respect for the tradition. You will be able to see what others are doing, just don't push yourself too hard. The idea is to have a good experience, not one that leaves you wondering why you ever came to class. Classes typically last 60-90 minutes. At the end of class you should feel good, relaxed, energized and happy.
Upon leaving class, plan on your next one! Find a different class if you weren't comfortable with the instructor. Yoga, like everything, takes practice and commitment. Give it a chance; plan on 2-3 weekly classes for at least a month, then decide if it is for you.
William M Shapleigh Jr. has been studying, practicing and teaching Ashtanga Yoga for the past 12 years. His passion and experience is in teaching students individually, moving their practice along at a pace that is appropriate for them. He hopes that students are inspired to practice with dedication and devotion, with the practice being the real teacher. He recommends http://www.allhotyoga.com/ to find all of the accessories you will need for your yoga practice.