Just as a counterpoint to a lot of the above: my first time didn't suck. Of course, I had been masturbating with my fingers for eight years by then, and using tampons -- I probably didn't have much of a hymen left.

November of sophomore year of college. I had known the guy for a year, dated him for 2.5 months, and it was Friday the 13th. He wasn't a virgin and had been showing me, basically, the even-more-fun stuff you could do with a partner. The whole week we had been inching farther and farther toward penile penetration, had gotten the condoms by Wednesday and Friday night found his dorm room empty except for us.

The space on top of the loft was pretty cramped. We made out and such until there was no chance that I wasn't lubricated. Then we tried penetration, first with him on top but we couldn't seem to get him inside. Then with me on top, which worked better. It ached a little, and there was a small amount of blood, but not much. After a bit during the act, the sensation became more pleasant. Not orgasmic (that time), but fun.

So anyway, I hope this will give some readers a little idea that first-time sex for women can go well (and I think the reasons why it went well are not hard to pick out).