For some women / girls - it does hurt a lot. For some, it doesn't. For me, breaking the hymen hurt and I had mild cramps (like period cramps) for about a day. Then all was fine.
This is like childbirth. You could have your first sexual experience with some blood (because the hymen was broken during sex) and a little bit of pain; or it could really hurt during penetration and then you're fine. Don't let anyone scare you about this. It's nothing to get all worked up about. When you are ready for your first sexual experience, make sure you and your partner are BOTH using birth control and secondly, remember to relax and trust your partner.