Didn't hurt a bit. Just felt like a slightly larger dildo (i.e. fantastic). Actually my first time was the second best time I've had sex, so it really doesn't have to be about gritting your teeth together and being at the verge of crying.
Girls, have sex when you actually crave it and are turned on! Please! Your vagina will loosen up and lubricate perfectly enough when you get sufficiently turned on. It's not supposed to hurt if you do it right!