Well, on my first visit, we talked about the things in my current life that were seriously stressing me out, then she had me tell her about my past (she had previously had me write down a brief biography) and she asked questions about various parts of my story that she thought I wasn't exploring deeply enough. That pretty much ate up the first session. It was mostly about us getting to know each other. Following sessions started to dig deeper into why I felt how I felt, how my life so far has and hasn't affected my gender identity, and what I do and don't want for my future. Over a number of sessions, she ruled out various conditions that sometimes masque as tg/ts...much to my relief.
If you prefer to attend future sessions as Breanne, discuss it. My impression is that most therapists will say to come however you feel most comfortable. Even if you plan to continue attending as Brian, it would be useful for the therapist to know why.
Basically, ask anything you feel compelled to ask about and mention anything that feels relevant or important...even things that you don't think relate to your gender identity. If it is on your mind, it is worth talking about. The therapist will guide the discussion toward anything that needs more attention or explanation...especially if s/he thinks you are hiding something from yourself. Also, don't be afraid to let your emotions show if you hit an emotional landmine...which is sure to happen eventually.