The best idea is to make a call to them before you go
Your best first bet will be setting up a New Jobseeker Interview and your local Job Centre may prefer you to organise that with them before simply turning up. It really depends on how busy your local office is. But dont worry about just going along as Aflame says there will normally be someone to help you. However they can be very busy offices so without an appointment you may have to wait for a while.
For a Jobseeker interview you will normally need to take along things like proof of identity, proof of address, birth certificate/driving licence, etc. But they will tell you at the time what information they would like you to provide.
Most important - don't worry. Job Centre staff often dont get the best reputation but they really are there to help you and as long as you are active in trying to find work and honest with them, you ll get there.