I mentioned that this past week's show was my first call on another thread. So, quickly, I will add that, even though I had been a college radio DJ for 7 years (from 1990 to 1997), I wasn't prepared for being a nervous wreck when I knew I went on the air on The Best Show. I winged it, made things awkwarded, then gomped. Now i know.
But yeah, that first call is important, because you realize how prepared or unprepared you really are... even if you've been in front of live audiences regularly or not. Unless you're a seasoned stand up comedian (or comediANNE), just buck up and accept your likely fate the first time.