Martin Smith's <em>Reconciliation: Preparing for Confession in the Episcopal Church</em> was recommended over in /r/Anglicanism for someone entirely new to the sacrament. It's pretty obviously geared towards the Episcopal church's version, but a lot of it applies to other denominations, as well.
>Although it has been written with the needs of the Episcopal Church in mind, I believe that Christians of other traditions will find it helpful. Lutherans and Roman Catholics could use it in preparation for confession.
I've never done confession, but it's been a very enlightening and challenging read. (It's short, but it takes a while to get through. It encourages you to take time to let God work, and to meditate on several parables and scenes from the Gospels).