It's different for each woman.
Some women feel a lot of pain and will experience bleeding...others just feel a little discomfort.
I personally just felt very little discomfort for a very short amount of time.
I think as long as you're doing it with someone that you really love and care about (and they feel the same about you) then you'll be fine. Just relax and don't think about any pain you might feel...just enjoy the moment, take your time, and have fun!
Good luck!