I went skydiving for the first time last November, and I have to say it was one of the coolest and most exhilarating experiences of my life.
I was pretty nervous on my way there, but the combination of the staff being laid back and courteous as well as being the only first-timer on the plane helped a lot. Training took all of five minutes (I had to go tandem, so all they had to show me was how to position my body during the freefall and where to put my legs when we landed). Butterflies started a little when the plane took off, but like I said, I was the only first-timer, so no one around me was nervous in the least, and that helped to ease the tension, plus the guy jumping with me was pretty cool.
When it came time to jump, there really wasn't much time to get nervous, so we just slid over to the door, briefly sat on the edge with feet dangling over the edge, then he pushed us out. The freefall was AWESOME!!! The only downfalls were the temperature (it was a gorgeous, sunny day, but being November I was told it was approx. 10 degrees up there, so the lips got rather cold) and the lack of oxygen. I found it rather hard to breathe for the 59 seconds we fell, but not so much that it detracted from the experience. It's absolutely one of the most freeing and exciting conditions the body can be in. It was a jolt once the parachute was pulled (left the buttcheeks feeling a little bruised), but from there cruising down to earth for a few minutes was quite serene. I biffed the landing, but all-in-all I would recommend it to anyone who has the slightest interest in it (and can afford it!).
I am going to do it again with my 80-year-old grandmother this summer and am looking forward to it.
Hope that helps.