You have a gelatin capsule filled with bright colored awful tasting goo that is approximately 0.68 inches in diameter traveling at up to 300 ft/sec. (max. muzzle velocity) Keep in mind, the farther away you are, the paintball slows down and won't hurt as much until the paintball won't have enough speed to break at around 125 ft or so.
Yes,it will generally sting a little. It will also often leave a ring shaped mark that has an appearance similar to ring worm. If you bruise easy, you can in fact get a bruise from a hit. If you are very close, the marker is over 300 ft/sec or it hits soft skin, it can do enough damage to break the skin and bleed a little. Hits on different parts of your body hurt more than others.
I generally prefer to wear gloves and long sleeves though during the summer months long sleeves may not be practical. Always use a mask designed for paintball that covers your ears and entire face. Always follow all the safety rules.
Try it. Once you get used to it, the fear of being hit goes away and then the only real worry is being hit out. I usually suggest that people use rental equipment the first few times or until you are sure it is something you would like to have your own gear for. Having your own gear also means learning how to take care of it and maintain it properly. I can't say having your own gear is always cheaper, but if you invest in good stuff it will be nicer.