I've heard people say that sex was disappointing when they finally got to do it, and all I can think of is that it's one of those things that is definitely better when you know what you're doing and what to expect, and obviously that will not be the case the first time. Also, it helps a lot if your partner knows what they're doing, which may not be the case.
To those people, I say: Cheer up! It gets better. Most things are more fun when you know what you're doing and aren't worried about getting caught, catching a disease, disappointing someone, getting pregnant, getting someone else pregnant, getting cold because you're outside somewhere with no clothes on... Seriously the list is endless, and it's so much better when you can relax and enjoy it and not have to worry.
Then when you get a lot older, things get worse again. But you don't have to worry about that for a while.