Pain during sex?

Ever since I've started having sex (about a year now) I have had pain during and after sex. The catch is that I can have sex the first time with no pain, but when we try for a second time, it hurts. I stay really wet so dryness isn't problem and sometimes we do get rough, but even when we take things slow it still hurts the second time around. The pain feels like it's around the entrance and the only time I feel pain inside is when he goes too deep. Is it normal for that to happen? Has anyone else felt like this?