No, I have not been to a spa before.
ok, welcome to the fun
depending on the prices in your area you may want to consider a trial run on land to get a feel for what you like and don't like. for me the ship's prices are a bit higher than my local day spas so it would suck to get something new and hate it and know i paid that much money for it.
for facials the only thing i can think of that might be painful is extractions or clearing clogged pores. there is a little tool that is often used to 'squeeze' the pores which can sometimes sting. other than that its various cycles of cleansers, toners, and masks. they should use the product best suited for your face, just tell them if you have sensitive skin. some will also use a vaporizer for warm mist to open your pores - this bothers my husband (former asthmatic) so he requests it not to be used.
looking at the description of the "Acne Attack Facial" i imagine you might get some tingle sensations from the cleanser they are using.
massages are totally tailored to the individual. if the masseuse uses too much pressure just ask them to go lighter. its not very relaxing if you wind up with bruises for the next few days.
body scrubs - if your skin is sensitive to products that exfoliate you probably want to skip this. i had one that it was just a exfoliatant product that was rubbed on by hand and i could feel all the little beads scraping my skin. it wasn't painful for me but i could see this not being for everyone. i also had a scrub where they used just a cleansing product and a loufah pad, that was only slightly more gentle.
i haven't done a full wrap (i had a mini one as part of one of my scrubs) but I can't imagine that being painful. if something is too hot, just let the tech know. but i thought that was the best part
for mani/pedi's, manicures it depends on your cuticles. some techs will just push them back and other will cut/scrap them off. personally, i prefer my salon where they cut them off. you run the risk of them going too far and cutting live skin, so that's not for everyone. (and I think a lot of places have stopped doing this for liability reasons) but i find the pushers hurt more. otherwise its a nail clip, cuticle cut/push, maybe hand lotion/massage and then polish.
for pedicures they usually scrub your feet so if you have sensitive tootsies that can be an experience. but again, if something bothers you they can find other ways to do things or just skip it.
i hope that helps some and other teens or their parents can give more details about the actual treatments on the ship.