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I suggest carrying a small notebook around with you until the appointment and jot down anything that pops up in your head. Remember, no question is too silly or embarrassing. Your doctor/midwife has heard it all before. The first visit is mostly paper work, a physical exam (pap if you haven't had one recently), and maybe an ultrasound if you aren't sure about the date of conception. S/He'll ask how you're feeling and if you have any questions.
There really isn't a list of questions you should ask at the first visit. My best advise is to ask what you feel is most important for you to know. If your a first time mom ask anything and everything that pops into your head. The notebook idea is a good one though, I'm on my third pregnancy and I'm doing that.