xxNervousxx: You can expect some mild pain and bleeding. Girls have a membrane called a hymen inside their vagina. This tears the first time you have intercourse and this is what causes the pain and minor (few drops) bleeding. A girl once told me it is a "sweet pain." It's not overwhelming, but you will have some discomfort. Make sure that there's a lot of foreplay before you have intercourse. that will help you relax and ensure that you lubricate properly. Remember, this is something that's totally natural for your body.
Make sure you're using contraception. If he's not a virgin or hasn't been tested for STD's, you need to use a condom. Girls do get pregnant the first time. Also, sponges aren't reliable enough. Sometimes teens think they can take one birth-control pill and avoid pregnancy. That's not accurate; you have to be on it an entire menstrual cycle for it to be effective.
Remember, this is a perfectly normal part of becoming an adult. Every woman you know has had her "first" experience at one time or another.