Should I try the birth control pill first?

My long-term boyfriend and I are hoping to have sex for the first time. Neither of us has ever had sex before and we plan on using a condom, but I'd like to use another form of birth control as well. 
I have my license and am able to drive to Planned Parenthood/clinics/doctors' offices. I've done tons of research on birth control methods and I think I'd like to try a hormonal IUD. My question is, should I try the birth control pill first, as sort of a test? Or should I just jump in head first and get the IUD? 
I'm a very sensitive person and I worry that hormonal birth control will cause emotional problems or physical problems. Are the side effects of the pill comparable to the side effects of a hormonal IUD? I don't want to make the wrong decision!