I certainly can hurt, but it doesn't always hurt the first time. There are a few reasons why sex may hurt the first time. First of all, it could be your hymen.
There are 5 types of hymen.
1) Normal Hymen
A Normal Hymen is a crescent-shaped, piece of membrane, that feels similar to the skin on your lip.
2) Imperforate Hymen
An Imperforate Hymen means that it completely blocks the opening. If you have not had a period by age 16, then you likely have this, and need to have a doctor pierce it for you, so that you can menstruate. It is the most painful to break, since it is thicker, and covers a larger surface area.
3) Microperforate Hymen
A Microperforate Hymen has tiny holes in it, but resembles an Imperforate Hymen. This is the second most painful type to break.
4) Septate Hymen
A Septate Hymen is a thin strip of membrane running vertically down the center of the vagina. This is relatively painless to tear, since there isn't much tissue.
5) Open Hymen
Finally, an Open Hymen, means that there is no hymen. This does not mean that it broke, it means you were born without one. Its also possible that your hymen has broken earlier in life, and thus wont tear at all during sex.
The next thing to consider is the width of your vaginal canal. Some women have what's called a prenatal vagina. Simply put, this means your vaginal canal is very narrow, and it can't really accommodate the width of a penis. Yes, the vagina does dilate, and it does stretch, but women with prenatal vaginas, aren't always able to dilate or stretch enough. This can even inhibit natural birth, and may result in a C-section. A licensed sex therapist can prescribe a dialator, but these are very expensive, and many women who have prenatal vaginas, just use over-the-counter sex toys, to gradually stretch their vaginas. All a dialator really does, is slowly stretch the vagina, over a long period of time. The same device is actually worn by transsexuals after their gender-reassignment surgery. Its been proven quite effective, in opening the vagina, to accommodate the width of a penis. Of course, penises vary in width, but the average man is about 1.5-2" wide. If your boyfriend is wider, that could also be an issue.
Infact, that leads me to my third issue, which is the width of his penis. If he is exceptionally wide, than that may be why you're experiencing pain. He may be too wide for you. There are things you can do. You could try stretching yourself, using sex toys or a dialator, or you could try lubrication.
Lubrication is another issue. Women lubricate from two sources. The first is your Bartholin glands, which are located near your urethra. Some women lubricate more than others. Lubrication prevents friction, which can cause pain. The second source, are glands inside the vagina. We still don't know much about these glands, but they have been shown to aid in lubrication. Of course, you can always buy lubricant. Always use water-based lubes, since oil destroys latex, and cause render a condom useless. KY and Astroglide are the two most common lubricants, and both are water-based. Both will help prevent friction. They are slightly different. One is a bit thicker than the other, but is a little more sticky to the touch. Its just a personal preference.
I wouldn't expect the first time to last very long. Both of you will be nervous and that can lead to what's known as performance anxiety. This means that he may ejaculate quickly or grow limp. Its possible that if you are hurting, you may also want him to stop. Its perfectly alright to ask your boyfriend to stop, if you're in pain. Sometimes it takes two or three attempts to break the hymen and your vagina will be incredibly tight the first few times. It will slowly stretch over time.
To illustrate what I mean by tightness, a virginal woman can usually comfortable fit one finger in her vagina. A woman who's had sex, can often fit two. A woman who's had a traditional birth, can often fit three or more fingers comfortably in her vagina. As you age, your vagina will loose its elasticity, just like the rest of your skin. You're still young though, so I would imagine this is not an issue. Just understand that you will stretch over time, but it may feel incredibly tight, the first time, and you may feel the need to stop.
As far as tips, I would have him focus on foreplay, rather than going straight to intercourse. Foreplay will elongate the experience and will be enjoyable for both of you. The typical man lasts about 2-12 minutes, and the typical woman needs at least 20 minutes to achieve orgasm. You're far more likely to achieve orgasm orally, than you are vaginally, especially when you're inexperienced. Also, foreplay will aid in lubrication. You can use an artificial lubricant, but given proper foreplay, you should be able to naturally lubricate, and that will cut-down on a lot of the pain.
Keep the lights on during sex, so you can fully appreciate what you're doing. Communicate before, during and after sex. Tell him what you do and do not like. Oh I know it can seem embarrassing to ever admit you didn't like something, but how else will he learn? He wants to please you, and as long as you tell him what you'd like instead, he shouldn't have a problem with constructive criticism. If you want something, don't be afraid to ask for it. Never ever fake an orgasm. I don't care what excuse you have just don't do it. As soon as you fake an orgasm, you're pretty much guaranteeing that you'll have a miserable sex life. If he thinks you enjoy it, things will never ever improve. For any guys reading this, you need to understand that while men feel the need to always finish, women can enjoy the experience, regardless if they do finish and its not always a horrible thing if she doesn't finish. Now having said that, you should at least try your best.
Don't worry about how you look or how you sound during sex. You look and sound beautiful and that's all there is to it. A Masters and Johnson sex study indicated that participants care more about how they look and sound, than how their partners look and sound. When polled, their partners were always impressed by their looks and sounds, regardless of how poorly the participants judged themselves. We're our own worst critics and you have nothing to be ashamed of. Your boyfriend will think you're beautiful, so be confident.
Finally, use protection. Oh, I know you said you're on birth control now, but use a condom too. You may think this is redundant, and it is, but the pill is not 100% effective, and its always a good idea to double up on protection. Also, the pill does not protect against STDs or STIs. Its common practice to use more than one form of birth control. Many condoms contain a spermacide, specifically for this redundant purpose. Condoms are a lot cheaper than baby diapers.
Have fun, go slow and enjoy your first time. If you need to stop, that's alright, and it may be a good idea to get some lube, just incase you need it.
Best of luck in life and love. :-)