One thing no one else has mentioned...bring a power strip/surge protector strip! A lot of rooms don't have enough outlets and the cords on our machines, irons, Ott lights, etc., usually aren't long enough to reach the wall (all the retreats/classes I've been on, the tables are set perpendicular to the wall, so the person furthest from the wall can't reach an outlet at all). Hope this suggestion helps.
Just relax and enjoy yourself. If the class/retreat is through an LQS or guild, perhaps they can "hook you up" with another quilter/mentor beforehand, so you can meet prior to the class. That way, you will know someone and not feel so "alone". Just a thought...