I'm going at 11 weeks. . . three weeks to go! I am so excited to be working with a homebirth midwife. She said the first appointment should take an hour and a half. . . and none of that time will be spent waiting in a waiting room!
With my last pregnancy, I saw a traditional OB/CNM group, and they had me go for my first visit at 8 weeks. The midwife gave me an internal exam, which was really uncomfortable, and said, "yep, your uterus feels very enlarged," and that was about it. There was no discussion of nutrition or anything. It was a totally pointless appointment.
The only reason I can think of for going in early is if you're not sure about who you want your provider to be. It could be a way for you to gather information about the practice. But in terms of the pregnancy itself, I don't think you gain anything from an early visit.
amygeekgrl: please don't be surprised or alarmed if you can't hear the heartbeat at 9.5 weeks. It's definitely not a "should be able to hear it" for most people at that point. You should be able to hear it by 12 weeks, and you might be able to hear it as early as 9 weeks.