When I started seeing my current therapist, on the first visit, I spelled put everything and gave him the complete picture at the outset. That includes being brutally honest about your past, your actions, the actions of others, your thoughts, etc. It meant saying depressing, embarassing or otherwise uncomfortable things.
Spend some time putting together the story of your life. At the very least you can get the basic information down and move on from there.
You can also talk about how you have nothing to talk about. I've had quite a few sessions that started along the lines of "I don't know why I'm here today..."
Sometimes, the revelations don't come until after the session. There have been a few times where a realization kicked me in the teeth an hour or so after.
In general, brutal honesty with your therapist and yourself helps.