For my first massage (and also on my birthday), my friend took me to one of those (unbeknown to me at the time) rub and tug shops. It looked very professional, and wouldn't think of it as such.
Got in to a personal room. Took a shower, and laid on table naked face down. Shortly afterwards, this 30-ish year old Asian woman comes in, introduces herself, describes the type of massage she'd be admininstering. She spent a good 30 mins on my back, then arms, and finally the legs - starting with the toes and working her way to the inner thights. By the time she was done on the back side, and when she asked me to flip over, I was sporting the largest erection I've experienced - ever! She was discret, by holding a towel over my private part so that she would not see it. However, when she placed her towel down or reached for something (not sure as I was all dazed), her hand knocked my upward pointing penis. She said o-my, and took a look.
She them massaged my arms, and worked her way down to the legs, starting at the toes and working up to the inner thighs, and then, her warm hands grasped my penis, and she started stroking. I was so fu*k'n horny that I was grabing her and by 10mins I blew the mother load.
I think some of these ladies do know and expect male erections, and some actually try to massage to get the rise.