I always find it weird when people say they are sexually active but not comfortable with someone "down there".
If you're sexually active, having a doc down there is no different! Maybe even easier, because they aren't trying to get anything out of the experience lol. And if you're adult enough to have sex, you better be adult enough to be responsible and get medical care.
I agree with everyone else's descriptions. Your doc can also test you for STD's during a pelvic, but you might have to ask for it. They can also discuss birth control with you. (And probably will if you're young and sexually active)
Only other thing- some doctors will include a rectal portion of the exam to get a better feel of your reproductive organs. They just slide a well-lubed finger up there and with another couple fingers in your vagina, they feel around. Not all docs do this, but it's part of a REALLY thorough exam, lol. Not painful or anything, just weird like the rest. I've only had that done once. And she told me what she was doing and explained it all, talked me through it.
I've always had doctors who talked me through everything, telling me exactly what they were going to do and how it would feel. That really helped me. And I've always requested a woman doc. Just makes me feel better.