I took the Tuesday and Thursday classes when I was in NY the first week of May. You can expect a great warmup (thanks, Karima!) and a really fun class. I had my zills with me but we didn't use them during the classes I attended. Morocco took us through several different choreographies. At first I thought she was playing the "follow me" game until I realized everyone else was following a little too well. She told me later that the choreos were ones she taught during her summer weeklong and other classes.

In short, go and enjoy the experience that is Aunt Rocky. :)

It might be helpful to find out in advance which music she'll be using in class, especially if she's drilling choreography. You can then listen to the music over and over, until you feel confident you know what transitions are coming up. That way, when you get to class, you'll be able to note how the moves in the choreo fit with the music, and that'll help you keep up better. It'll also help with your retention afterward.

Few things about class with Rocky -

Structure -
Slow rythmic movements that stretch and warm muscles - arms, hands, torso, hips
slow movement drills at varrying speeds - infinities, undulations, circles etc
Fast movement drills at varrying speeds - lifts and drops, shimmies with layers, core traveling steps, etc.
(both of the above sections manage to somehow be very non drill like, as you really are progressively dancing more and more)
A few choreo rounds with the warm up instructor (Karima on Thursdays, Tarik on Tuesdays)
And then ROCKY!!!! (prepare to dance your hind off) She typically does each song twice, although depending on whether or not we get it, she may only do it once. There is a nice blend of both fast and slow (I love it and feel spoiled when she does a "set", like when we do some of her advanced performance staples like Bahlam Bik or when we do long instrumentals for 30 minutes, but no matter what she does, its great).

Its a WORKOUT. Be prepared. Doesnt matter how many times I take her class, I always know that I justed worked it.
Be relaxed and have fun - even through that concentration. Smiles in Rocky's class can be contagious.
Really focus during the warm up - its soooo good for prepping you and also doing by yourself later.
If you feel like you cant possibly absorb it all, pick one or two things to really focus on. There is enough repetition in the class that this is possible without becoming too much. (this is also how I learned to use my arms, and how I learned to do several of the traveling steps).
If Rocky pauses to give info, and you have a question, dont hesitate to speak up.
And lastly, all the students are really really nice, and kinda quiet. Dont let their quietness fool you - they are all sweet!