Honey, get ready for your dignity to be thrown out the window. You'll never feel so poked and prodded in your life as you will going through pregnancy, delivery, and postpartum, and you're just going to have to suck it up and deal. Babies are cute, but pregnancy is anything but pretty.
As far as first trimester vaginal exams go, the only things your OB *might* want to do is a transvaginal ultrasound (to accurately determine where you are in gestation as well as check for viability by confirming a heartbeat), and possibly a pap smear if you haven't had one in a while. You as the patient have the right to refuse either test... but if you plan to do that you're not going to get just a whole lot out of your appointment beyond being handed a stack of pamphlets. Your OB may also want to do a blood draw to confirm your blood type, check for anemia and STIs, and check immunity factors. If you're offered a flu shot at your appointment, get it. The flu during pregnancy is NOT fun, and can be dangerous to you and baby both.