Well, a big part of auditioning AND performing is NERVES. I think a good discussion would be to get the class talking about how they deal with their nerves prior to auditioning or being onstage. People have different methods, I'm sure you have stories of how you cope, and stories of how you haven't coped (which can be just as useful). In auditioning, with musical theater actors you have more levels of intimidation than usual: choreographers, music directors, directors... I've known a lot of actors who come to NY and quickly get intimidated and put off by auditioning, and they give up the game.
How to cultivate confidence and maintain it, even if you may not feel confident.
As a director, what are the telltale signs that someone is nervous/not confident, etc.