Therapeutically, massage can be useful in easing aches and pains, reducing stress, improving your sleep, enhancing physical performance in sports, and can help you cultivate a peacefulness which follows you off the massage table into daily life.
To get the best massage, it's important that you and your therapist arrive at an understanding of what you need during the session. Before your appointment, reflect on your reasons for getting a massage, and what you hope to get out of it. Clarifying this can deepen your understanding of what's going on inside you, physically and emotionally, so your massage can be tailored to fit. This is your part of the work, and will help your therapist do their part better.
That done, the rest is easy--just breath, relax, and enjoy!