It's different for everybody, but it's not always (more than likely 'never') all romantic and passionate as they make it seem in the movies. It can be nerve wracking, painful and heartbreaking if you don't wait for the right person... that's what I was always afraid of. Not the actual sex, but losing my virginity to somebody that was going to hurt me in the end, emotionally. Your body will heal, but you will never forget the first person you had sex with, so make sure you take the time to think about who that person is..
Not so great. You are usually worried about all your equipment working and making some mistake and looking like a goof. And usually your partner doesn't know anything either. Eventually, though you can enjoy the sxual excitement and romance of it all.