Does sex hurt?

I have never had a partner before, so bear with me here, but I've recently come across some stuff that surprised me. Apparently, almost all women, when having sex for the first time, BLEED or are in large amounts of pain. I'm turning 16 in a few weeks and never had a sex education, so I don't know if this is common knowledge or not, but (I feel very pathetic for saying this) it's kind of put me off the idea. I know I've seen women saying "It's not painful if you're calm" or "It's not painful if your partner is gentle," but I have no idea what the general consensus is. When does it stop being painful? Why have sex at all if it, and I quote from a woman I know, "felt like being stabbed in the vagina"?? I know this will probably sound really stupid, but I don't see the appeal anymore.