How painful should the first time be?

My boyfriend and I finally decided to try and have sex, and WOW was it painful. I knew it was supposed to hurt/sting "a bit" the first time, but it was so painful I had to stop him :( Does anyone know how to make it hurt less? Or why it might be so painful? All of my friends have said that their first times were kind of painful but not bad, but my cousin told me that she had to stop her boyfriend the first time too.