I did a sprint distance tri (slightly longer than My First Tri - 400 yard swim, 12 mi bike, 3 mi run) about 11 years ago. The thing that got me was the swim - a buddy and I practiced in a pool. Until I got on the lake, I did not realize how much I was pushing off the walls during practice. Short version: As I was exiting the water, the next wave of contestants was coming up behind me; one of the race coordinators said that they were about to come get me out (demeaning, no?). So, work on the swim and wear a wetsuit (buoyancy is nice). The ride was fine other than the fact that we did not have road bikes, so we rode mountain bikes with off-road tires...didn't even think to jack up the pressure, either (I never said we were too bright). The run was fine - probably the easiest part for me as I'd been running for years by that point.
Side story: The lakeshore was covered with rock - almost like really large gravel - so it felt "pointy" when I was exiting. When I got to the bike to get my shoes on, I noted a little bit of blood on one of my socks - I figured I pricked the skin somewhere - but I completed the race no issue. When I got home and took my shoes off, my sock was completely red. Turns out that one of those pointy rocks was actually broken glass, and I had a ~1.5" L by ~1/8" D cut in my left heel. What's funny is that I was staying at a friends house (he was out of town at the time) during this, and I thought I'd washed all of the blood out of the shower...but I guess not, because he wanted to know what the hell went on over the weekend (I think I told him we sacrificed a goat, or something).
Of course, the most painful part of it all was the 6 shots of Novocaine that went into the heel before the doctors could stitch it up. Later that afternoon, I drank several precautionary margaritas so the Vitamin C would aid in the healing process.
So, watch those feet when exiting the water...and that's my advice for attempting your first triathlon...