This article is a great read if you have never had a massage before & are not sure what you should do & some of the things you should look for. http://goo.gl/tDDT1H#comments
The only other thing I would add is make sure that they are properly trained (preferably with a Diploma in Remedial Massage Therapy). If you are not sure you can search on one of the Associations that have qualified therapists on their lists. Below are 3 of these.