I'm addressing a man about to share sex with a woman. It is her first time. It may or may not be his. He loves her, or at least cares about her and is able to act lovingly. I cannot give advice about sex-without-love as it is something I think is a Bad Thing. YMMV.

Make sure you have a whole heap of time together and in privacy before you begin. That's hours and, if at all possible, days I'm talking about. No one should be worrying about their dad coming home and getting mad, or their parents getting a phone call to find out why they aren't in school
No one's virginity should be given in rushed or fearfilled circumstances
Don't rush either her or yourself

Hurried sex is for later when you know one another's bodies and pleasures.

She may well be feeling shy and, as a result of this, tense. The solution to this is simple: love her
Truly. Love her with your heart and face and eyes as well as with your body
Don't take anything even one step one second faster than she is not only comfortable with, but obviously ready for. Talk to her. Listen to her. Listen to her body as well as any words she says.

And if she says stop, stop

Right that second.

Have lots of lube on hand (and a non-knockoverable bowl of warm water to float it in is a good idea, too) and don't be afraid to use it. Nervousness can make a lot of women dry out fairly rapidly. Dry sex will hurt her, hurt you and quite possibly give her thrush.
Pain in a first sexual experience is a serious off-putter when considering a second.

Unless you make huge amounts of precum (and perhaps even if you do) putting some lube on the glans of your penis can be very useful. 
If you are uncircumcised put it on while your foreskin is extended, let a little sort of soak in underneath the edge, then retract and extend your foreskin several times fairly gently, adding as much more lube as you like until the top inch or so of your penis is covered both in- and outside your foreskin. This should help with any pain you might feel. 
If you are circumcised there is nothing I can really say except "I'm sorry."

Another way to help minimise pain for both of you is to use your hands on her quite a lot. Finger her slowly for a while, and try using two fingers if she is agreeable. The more stretched she is the less trauma either of you will have, and hey, no one said a hymen had to be broken by a penis, did they?

Take time to explore on another.  You are two people trying to connect in the most intimate way possible. So communicate, damnit. Kiss. Cuddle. Talk. Listen. Stroke. Cry. Nibble. Laugh

Hold one another.

Be gentle. Be loving. Be honest. Be kind.

Have fun.

And most importantly...

Remember to call her next day.