I went in for the first time at 14 years old, before I'd ever had intercourse (I wanted to go on the pill to regulate my period, because I was getting it twice a month for 4-5 days each cycle).
The first time that I went, I went alone. I rollerbladed to the clinic, checked myself in, and went through the appointment, spoke with my doctor about what I wanted and why I wanted it, left the clinic, rollerbladed to the pharmacy, had my perscription filled, and rollerbladed home.
Before I ever went in, I read about it online so that I would be prepared for whatever it was the doctor was going to be doing.
I won't lie, the first time it was a little awkward. That's to be expected. You just have to suck it up and do it, because it's so important. I have gone every year since then, and I can now say that I'm perfectly comfortable with it. The doctor sees at least 10 vaginas a day, you don't have anything to feel uncomfortable about. He/she is just doing his/her job.