I'm with Average Joe - going to the massage therapist is like going to the doctor, only nice.
They see all kinds of bodies and it's not sexual at all, although to be honest I have weird erogenous zones sprinkled all over my body (just above my knees, inner arm around my elbows, pretty much all of the back of my neck), so it's hard not to get um...tickled, whatever the gender of the massage therapist. But it passes and it's not weird or anything, just ticklish.