Dissect you bit by bit. No! Just kidding.
First, you'll be asked to fill out forms that detail your medical history and then a multitude of federally required administrative forms regarding patients' rights, consent to treat, and privacy rules.
Someone will assess your vital signs, most likely a nurse. They will check your temp (orally, so don't get your hopes up), take your BP and your pulse. Height and weight will also be measured. Then you'll be shown to the exam room where you will most likely be asked to disrobe and put on a gown or a drape.
The doctor will have had an opportunity to review your chart and will ask you questions about your past medical history and any problems/symptoms you're having now. Then the doctor will perform a head to toe assessment, what we call the physical exam. It will include a check of all your organ systems, auscultation of your heart and lungs, palpation and percussion. Your reflexes will be checked, and your doctor will most likely also do an examination of your genitalia. According to your profile, you're a little young for a prostate exam but I wouldn't rule it out from a very thorough physician.
During most of this your doctor will be asking if you have questions so if you have any, feel free to ask. Anything you say to your doctor is confidential, and he or she has probably heard/seen it all before anyway so if you have concerns about ANYTHING, now's the time to bring them up.
Your doctor will probably order some blood tests, a CBC, WBC, differential, HDL, LDL, BG etc. and possibly a urinalysis. If you have a family history of heart disease he or she may perform or order a baseline EKG. None of these are terribly scary and they're not painful. I'm sure I've left out a multitude of things, but those are the basics.
With any luck at all, you'll get a clean bill of health and you'll have a baseline medical record that your doctor can refer to in the future.