Well, since your body actually "holds" the sperm for a short while before the actual conception, it's possible that you could get pregnant before your first period if the timing was right. Your period is the release of old blood and eggs, so before you even start to bleed, your body could be ready for pregnancy
since it will already have started collecting the blood and releasing the eggs.
Don't forget about STD's either. I think the statistics now are that 1 in 4 people have an STD, but I'm not sure what it is exactly now. And don't trust any boy your age to be honest with you if he did have one. AND many STD's don't even show up for several years after you get them, so your partner might not even know that they do have one.
It's ALWAYS best to use protection.