Before you go - learn the basic of the code!
First and most important: It's OK to go to the Milonga to just watch! You learn a lot this way. You will see the dance in its 'natural environment', see how everything works, get to watch people dancing and hear a lot of great music.
Most of the time there is a class and short practica just before the Milonga starts. Make sure you make use of that part, even if your plan is just to observe for the rest of the evening.
The class is usually 60 - 90 minutes and what it gives you - you get to know who other beginners are. You might feel more comfortable to try first with them. Especially in right after the class practice time.
Things to know:
During Milonga music is played in tandas. One Tanda consist of 4-5 songs. In most cases you dance the whole tanda with one partner unless something goes wrong - for example you have no connection at all. If that happen it is polite to continue dancing until end of the song and then simply say 'thank you' and just walk back to your seat. The New York rule 'Don't ask - don't tell' applies. You do not need to explain your decision. Simple 'thank you' is perfectly fine. It's definitely worth remembering that 'thank you' now DOES NOT MEAN 'thank you forever'. Work on your dance skills and ask again in few weeks. The other good solution if you are not sure if you wish to dance with a person - is to wait until the last song of the tanda and ask then. This way, if you like it and wish to dance more, you can simply ask for the next tanda.
Each tanda is separated from the next one by cortina (curtain), which is usually non-danceable music, or non-tango music. It's your choice, but dancing to cortina music it's not highly prized.... So even if you hear your favorite salsa number try NOT to dance! Instead - use this time to walk your follower back to her/his seat, exchange pleasantries, and get ready for the next tanda.
As Tango consist of marvelous trio of Tango, Milonga and Vals - each type of music is played creating separate tandas.
Most often tandas are played in this order: T, T, M, T, T, V.
Meaning: Tanda of Tangos, Tanda of Tangos, Tanda of Milongas, Tanda of Tangos, Tanda of Tangos, Tanda of Valses.
This bring us to the next very important subject. Crucially important for beginning dancers! DO NOT ask for a dance UNTIL THE MUSIC STARTS TO PLAY! This way if it's a song you don't like or type of Tango you don't know how to dance - you can simply relax and watch other dancers instead of sweating on the floor trying to pretend that you know what you don't know.
Use cabaceo to ask for dance. It's simply polite to give a person a chance to refuse. Remember - Tango is a proposal, not a demonstration of power. Respect it.
One of the good reasons to watch before 'jumping into dancing' yourself is to recognize the dynamic between dancers. It's like joining new club. Before making any statements yourself you want to learn what's going on. Who is who, who dances how, who dances with whom and for how long. You wanna take few tandas and recognize the patterns.
If you see 2 poeple dancing tanda after tanda after tanda with each other - good chances are that they are together and are planning on dancing the whole night. In which case your attention shall go elsewhere. It's an important thing to know for ladies - if you are seeing dancing more than 2 tandas in the row with the same leader - chances of being asked to dance by other leader diminish greatly.
Other rules follow simple common sense: If the lady you wish to dance with is sitting with her partner - it is polite to ask him for permission to take a lady for a dance, even though you have her permission through cabazeo. After the tanda make sure you walk her back to her seat. After such a wonderful dance you just gifted her with she might be all confused and disoriented.
One more important thing: if there is orchestra playing life music - we DO NOT DANCE the first song. We focus on ADMIRING and APPRECIATING the orchestra. DO NOT be the first person to jump on the floor. In fact wait until the orchestra leader himself starts encouraging people to start dancing. Simple respect.