Does it hurt the first time ?
Adding to what the others have already said: some guys feel pain the first time, but others don’t. I do agree you should probably practice with a dildo or a butt plug or something. That way you can get used to the feeling and see how your body responds. If you do cramp up, you can always try pushing out like you’re taking a shit— because that usually loosens up your muscles.
Plus, like the others have said, use plenty of lube. In the beginning, you might try basic stuff like K-Y Jelly. But as you get more experienced, you should shop around till you find the lube you like best (personally, I use water-based Analyse Me). Either way, make sure to use plenty of it, because it can make the difference between pain and sheer joy.
Does it leave any damage ?
No. A dick up your ass won’t cause damage, unless you have a medical condition like hemorrhoids or anal fissures. And be careful if you’re using a dildo or some other toy: you don’t want to stick it up too far. But otherwise, you’ll be fine.
Where do I start?!?! First of all, you’ve got lots of nerve endings down there, so it can feel really pleasurable, just like if you’re playing with your hole. Plus there’s the sheer intimacy of making love to a man, especially if you’re really into him. And last but not least, if he hits your prostate (a.k.a. the make G-spot) you’ll feel a whole new kind of ecstasy. And if you’re lucky enough to have an anal orgasm... WOW!!!