I delivered both of my daughters naturally and my biggest advice is just realize that it's goign to hurt, it's going to be exhausting, and it may be long (my first labor was 26 hrs which I know is not long in terms of first labors, but it's still a long time!), but you can get through it and it's only temporary. That's the thought that actually got me through my 2nd labor naturally, since it was much shorter but I had pitocin which made it much harder and more painful.
I would definitely wait as long as possible to head to the hospital. Even if your water breaks and they tell you to head in, you have time and as soon as you're there, you're stuck there. As previous posters have mentioned, I've heard great things about Bradley and Hypnobirth, however I didn't take any classes. I did get a Bradley Method book and also a yoga for labor book that I read and took bits and pieces from. The thing that helped me the most was to breathe very deeply during contractions sitting upright with my legs in a lotus-type position and close my eyes. I did this with both labors and for whatever reason it was the best way to get through it. Also, having my husband counterpressure my back (I had back labor) and having a cold cloth on my head were very helpful.
I do wish you the best of luck!!