There are two options for your first jump - tandem, and AFF (Advanced Free Fall).
Tandem is just what it sounds like, you are tied to an instructor, they do the work, you go for the ride.
AFF requires that you to take a class that lasts a day, then you go out on your own with an instructor. They hold on to you as opposed to being tied to you, so you are on your own with a safety net in case you freeze up and forget to pull your cord (which is very easy to do, it is an intense experience).
My first jump was AFF. I'm afraid of heights you see (and that doesn't go away), so I had a thing about proving to myself that I could push through it. I urge people trying it the first time to do tandem. I had pretty bad luck in that I had an emergency to deal with post-pull (my risers got tangled) on my first jump....I made it through it but it was serious business. On an AFF jump there is noone to help you at that stage, so like I say, serious business. It took me several years to go up again after that.
I've done a couple of tandems and several AFF jumps since, and I must say the tandem is a whole lot of fun. There is no reason to have a hangup about bein tied to a dude, or in not going out on your own. The instructor is able to show you stuff while under canopy that is just downright rad, and you don't get that on an AFF jump.
Plus, a couple of tandem jumps count towards certification (25 jumps), which allows you to jump completely on your own pretty much anywhere in the US. Thats what I'm workin on now.
Your First Jump: Tandem Skydiving! | Skydive Spaceland
Cost, with a video (which you will want for your first jump, believe me) is something like $300. Subsequent jumps are a lot less. Once you get to your 15th jump or so its more like $80, and once certified you only pay for the lift ticket of $15-$25 depending on the dropzone.
I highly recommend it - there is just nothing like it. Like I say, I'm afraid of heights (I get sweaty palms whenever I think of skydivin), and I am able to rock on - so thats no problem. In fact you'll find a whole lot of the instructors (who have in excess of 10,000 jumps) are afraid of heights, it goes with the territory.
You want to talk about feelin
alive. Seriously