When a woman becomes sexually excited, her vagina becomes wet, making it easier for a penis to slide in comfortably, but if a woman is too nervous, the vagina may not lubricate, or if there has not been enough foreplay, etc..., the vagina could be too dry to make sex enjoyable.
Another reason is that if the hymen (a thin layer of skin in the vaginal opening) has not been broken yet, it may be a little uncomfortable when it breaks and causes a little blood.
Sometimes a teen's body is just not developed enough to even enjoy sex yet. Also, most women do not experience an orgasm the first time they have sex.
Sex should not be very painful though, and if it is, you really need to look at your emotions behind sex that could be causing the pain - maybe it's not a physical thing at all. Are you having sex because you feel ready, and it's something that you want to share with this person? Or are you doing it because you feel that you have to, because it's expected of you, or because you think it's a way to gain love?
You should only be having sex if it's something you really want to do, not because you think you are supposed to, or because someone is pressuring you or expecting it from you. Sex is not a way to gain love; it's an act of sharing. You should love your self first and foremost, and not try to gain esteem, love, or anything else from sex. It doesn't work that way. You have to have it in yourself first. That's the only place it can come from, within you. And if you don't love and respect yourself when you're deciding to have sex, it can leave you feeling even more empty, alone, or used.
-Erin-