You can expect to get a cramped hand from signing your name so many times!
You'll arrive at the closing, typically with your lawyer and/or realtor. The bank will be represented by their attorney too. Occasionally the seller's attorney will be there too.
There are many costs associated with a closing, and they can vary by area. Here's a list of some common ones:
Prorated first year of taxes (school, county, village, etc)
3 months of escrow for taxes and insurance.
Recording fee and stamps
Your attorney's time
* Paid out of closing... a credit may be offered at closing
For what it's worth, I'm not a paralegal. I do IT work for a law firm that specializes in closings and got these items from a template I helped them create.