I ask them for personal information and specifically how they feel about math and taking the course. The intent is to have them think about their anxieties prior to class so they will be more comfortable when I ask them to discuss their feelings with a partner during the first class. The effect of sending students a letter prior to class is very strong. It calls attention to the fact that my class will not be a typical math class and that my approach will be different than what they are used to. It sets high expectations for them and for me, which is important for succeeding in any course and especially math.
Many students have low math self esteem to begin with.
Setting a high expectation begins the process of building up their self esteem. The writing assignment demonstrates that I am interested in them as individuals and would like to establish different lines of communication. Once the shock wears off they really get into the writing and describe their innermost feelings about their anxieties. A word of caution is appropriate here. A few students may react negatively.