FOr my first confession, my priest gave me these bits of advice:
First, don't panic. He told me to not think about it too much until a few days before, because you will only become despondent.
Pray that God will reveal your sins to you.
It's good to write your confession down so you don't forget anything and so you don't start to ramble.
Divide a sheet of paper into 3 columns: the sins of the last week, the last month, and the last year (it's less overwhelming that way), and then use the back for anything earlier (using additional paper as needed). Write the first time you committed the sin, and how often. This will help him know what you struggle with the most. Exhaust your memory first, then use lists such as the ones others have posted.
Be general when mentioning other people. Note your the relationship at most (a friend, a family member, etc). Don't use other peoples' names. You are there for your sins, not theirs.
If you think you should confess something, confess it. Hide nothing. He cannot do his job if he doesn't know what you struggle with, and anything you intentionally hold back is not forgiven. Anything you forget to mention unintentionally is forgiven.
You may be numb for awhile afterwards, but once it sinks in that your wedding garment is clean and pure, it is the best feeling in the world. Best wishes!