It will vary greatly from course to course and instructor to instructor. Some of these course can be very good and quite informative. It might give you lots of ideas for routines, presentations, back stories etc. You would probably find yourself having a bit of fun and usually the other people on the course will be very nice.
Sometimes however you may find the course to be badly organised and badly run, with an instructor who is more interested in getting your money and signing you up for further courses.
I go and see mediums work a lot and usually thoroughly enjoy the "show". I have also been on several "development" courses just for the sheer heck of it. I have gained a lot of inspiration and ideas for my mentalist work via this route. I don't for one moment believe that anyone can genuinely speak to the spirits of the deceased, but if you keep that point straight in your mind you can find yourself having a fun few days - just try not to laugh out loud at some of the things that people say!

HOWEVER if you feel that the instructor is being manipulative and you don't feel happy don't be afraid to stand up, voice your opinions and walk out. Don't hand out personal details before the course and be a little bit guarded until you feel happy with how things are developing.
Just promise me you won't come out the other side of the course believing you're the new Colin Fry!
To add: No, you won't be taught "cold reading". Or at least the instructor won't be aware it's cold reading. It will be more akin to the ideas in my Midnight Side of the Mind book but with more dead people involved!