Sex the first time? Hurts lots for some (breaking the hymen) because it depends on how thick that little piece of skin is. Some don't hardly feel it at all and some take a couple times to break it completely and that does hurt.
Yes, for the first time it hurts. It is different than putting in a tampon because not only are you inserting it you are moving something around in there. The best thing to do is to be as relaxed as possible.