First time?
It's got to be done as its such an iconic climb, but in all honesty it's an ugly climb with no real views and its very exposed, so when it's hot you really feel it.
Still! Chapeau and well done........... and despite my disparaging remarks about its lack of beauty, I've done it twice, bought a photo from one of the road-side photographers and bought a full Alpe d'Huez kit from one of the shops at the top. So feel free to point out my hypocrisy!
If you get the chance, then do the Col de Sarenne which is the climb on the far side of Alpe d'Huez. You start from the dam about 5-10kms up the road to the Col de Lautaret. Its a pig of a climb, which starts out and finishes with slopes of 11% and above, but once you're at the top you have a beautiful run across a mountain valley which brings you to the top of Alpe d'Huez, and you can descend from there.
I wouldn't descend the Sarenne. Its narrow and a bit sketchy. The pros went down it in the Tour about 3 to 4 years ago and were apparently not too happy about it.
There's also a couple of nice balcony roads that run right and left off Alpe d'Huez.
La Berarde is also a good ride. It's an out and back dead end, but superb scenery with a couple of cafes at the end. Ideal for a rest day!