If it is the first time for a girl it can hurt because her hymen has to break in order for the penis to fully enter the vagina. The hymen can break down on it's own before intercourse, especially if the girl is athletic. Any contact with the genitals is intended to be pleasurable. Sex should feel good for most parteners.
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For many people, yes, sex is supposed to feel good. It can be a pleasurable and intimate experience that can bring physical and emotional satisfaction. It's normal for individuals to have different preferences and experiences when it comes to sex.