First thing is, yes, you should be naked for most kinds of appointments, even facials. But rest assured, they have all the various procedures for protecting your modesty down pat. You will lie on the massage table under a sheet, in a dimly lit room, and they will only uncover the part of the body that is currently being worked. Nobody will touch you in any inappropriate place. If you're uncomfortable with something, or it hurts, just speak up and they will make the necessary adjustments.
You should arrive for your appointment at least fifteen minutes early - a half hour would be better.They will typically issue you a robe, slippers, and a locker. Most spas have showers, along with everything necessary for washing and refreshing yourself - towels, shampoo, lotion, razors, etc. It is a good idea to take a quick shower before your appointment, especially if you've been out and about and are sweaty. You will probably end your appointment with a pink glowing shiny face and hair poking out in all directions. If you have plans immediately following your appointment, leave time for a second shower and for repairing your hair and makeup. However, to prolong the feeling of relaxation it is a good idea to allow for free time after your appointment. Most spas have relaxation rooms where you can lounge for as long as you feel the need.
Many of the spa treatments will detoxify your body. It is not uncommon to have swollen glands or a runny nose by the end of your appointment as your body processes these wastes. Be sure to drink plenty of water immediately following your treatment.