I had one just over a month ago for migraines, when i went, a nurse took my BP, height and weight and gave me some sheets to fill in about how the migraines affect my day to day life and how often they happen/how long they last, then I saw the neurologist who asked about my symptoms and my medical history past medication etc then talked through the possible treatment options. He also put me forward for a clinical trial that will be available in my area in a few months.
Its going to depends on the area, the doctor, your symptoms etc as to what they do, but a first appointment will just be talking to you and finding out as much as they can about your symptoms and making reccomendations based on that.