First gynecology exam : (really scared and nervous. What can I expect?

Good for you. I applaud you for seeing a gynecologist. All women should see their gynecologist annually for a pelvic examination. At the visit, you can get all your questions answered about birth control, prevention of stds, any issues with your menstrual cycle, pregnancy preparation/advice, and other women's health issues like mammograms, vaccinations, vitamins, etc. Just stay relaxed.
Here is a simple but. Helpful trick: breath in slowly ; deeply through your nostrils. Fill your lungs with air (but not to the point of discomfort). Hold for a count of five then slowly begin to exhale through an open mouth. Repeat at least 12 times, longer if you need to.