It's indeed painful. Well, for most women it seems to be. And invasive, well, I'm leaning towards it feeling "intrusive" but I guess they kind of mean the same thing. My first time was with my current boyfriend. It was his first time as well. He kept asking me if it hurt and kept making sure I was okay. We had actually attempted it a few times before but failed, for reasons I will not mention, lol. We both wanted to try it though. I had to actually kind of lie to him, saying that it didn't hurt when it did, because he was worried about me so much that it prevented him from errr, you know... but despite all his attempts to make me feel absolutely fine it still felt kind of intrusive.
Once you get used to it it's kind of nice. The physical feeling itself isn't all that amazing but there's a certain feeling of... how to call it? It's like you get some sort of special connection. Well, if you do it with the person you love and when you feel ready for it, of course. In my opinion, it's nicer when it gets faster (after the pain is as good as gone, that is). Masturbation feels better physically, but you don't get the same connection with someone as when you're actually having sex. It's strangely addicting as well, so I can see why there's so much porn out there, hehe.
I can understand why guys don't have as many "problems" with having sex as girls do. For them, it probably doesn't feel intrusive at all. It probably just feels nice. I, being bisexual, wouldn't mind having sex with a stranger as long as that stranger is female (if I were single!). When it comes to guys, however, I would probably feel abused or something like that if I had sex with them without having a personal connection. If you think it'd be the same for you, I'd advise you not to rush into anything, and make sure the guy in this particular case is a "good" one, one that cares about you and your feelings. The last thing you want to feel like after having had sex is to feel like you've been taken advantage of, I reckon.
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Common sense is the collection of prejudices acquired by age eighteen.