I trained in Muay Thai for about 3 or 4 years before moving to Phoenix... still trying to find a good gym here.
I love it. As for how it goes... just depends on the gym.
When I first started, I went with a friend who'd been training for years. Him and our Kru slowly walked me through the basics. When I graduated college and moved back to Detroit, our Kru introduced me to his protege who has a gym there. It was a completely different training style, and I was a wad of cookie dough for the first week.
Either way, like any activity, a good instructor will know how to push you... without breaking your esteem. Ask around to find a good gym. I know it sounds stupid, but go out for Thai food for lunch and ask the staff. It's typically a tight-knit community.