Heyy!
Since you are only 15, stick with stuff that would definitely be lots of fun.
So, *if* you find a really nice boy close to your own age who is up for a bit of romance or trying stuff out, I would...
-- Snuggle with another boy naked, with lots of kissing, making out.
-- Jerk each other off (mutual masturbation) -- that's just great fun.
-- Oral sex can be really intense and incredible feeling -- both give and receive, then do it mutually at once "69".
Don't do anal until you are a bit older and really deeply want to with a guy you love who loves you back. It will be heaps better that way.
But anyway, with sufficient preparation, it doesn't have to hurt, and it can feel crazy good. But you have to be "open" to your guy, want him inside you, and use tons of lube. It definitely is cool to penetrate, but one must be extremely gentle and slow, and only go in halfway, not shoving in the whole monster. The only possible problem is if you are with a guy with a huge penis, but even then you can work it out.
Anyway, anal can be waaaay intense and amazing, but since that is your last virginity, join it with love and make it mean something.
Just have fun for now in the other ways I mentioned.
Hugs!
EDIT: Where do you live? Laws are different all over. Generally speaking, if both of you are close to the same age, say within two years of each other, you won't be breaking any law at all.