OK... first of all, have you ever had sex before, or is your BF your first? Are you his first?
I ask this because people often enter into a sexual relationship with expectations as to how the sex will happen. Depending on where you see most of your sex (porn, cable porn, etc), your expectations about sex will be different. If you've never seen anyone else having sex, you have no solid idea what's supposed to happen and so you make up a scenario that sounds the most likely or follow what your SO is doing.
You're not alone in not having an orgasm through sexual intercourse. Many, many women cannot- it's not a big deal. However, if your boyfriend spends two seconds on foreplay and then just jumps right in pumping away, it IS a big deal. Looking at the broader scope of relationships, they're not just about sex. How well things go in other aspects of the relationship affects the sex. So-
1- does your boyfriend know how you feel about sex? Does he know you've not had an orgasm and that makes you wonder? If he does know, does he care?
2- Have you ever had an orgasm with your BF while not having intercourse- through oral sex or fingering with your BF?
3- When you have sex with your BF, are you getting caught up in the moment or trying to lie there and make it picture perfect sex... complete with faking an orgasm? Like Mal said, orgasms are mental, but that doesn't mean you have to think about having one! Just relax and let go!
4- I would also suggest a few books on sex and sexuality. As I have recommended many, many times before:
The Guide to Getting it ON! by Paul Johannes. Perfect book for learning all about sex and sexuality- even if you think you know it all. At the very least, next time you go to Barnes and Noble check it out in the human sexuality section. Another good book is
Supersex by Tracey Cox
5- Because we care, all of us here at TFP want to make sure that you're using birth control, and have been to your Gyno for a checkup (becuase you're supposed to start doing that once you start having sex). Also, if you're not his first sexual partner (oral sex counts!!) has he been tested for STDs? This might not be the most romantic step in having sex, but it definitely takes a total mental load off your mind to know that you're not going to get pregnant and you're both clean and STD free

Keep posting and keep us posted!