My first time, I took lessons (very recommended), and on the first day it had/was snowing a lot, so I didn't really feel the falls. But it was pretty hard to learn when I kept getting stuck in powder.
Then the second day they had groomed the slopes. I fell a lot more and a lot harder, since I was actually trying to do stuff. Didn't hurt myself too badly, but man, was I ever sore that evening!
So in conclusion, I didn't really get hurt, just got sore muscles in places I didn't even know I had. But a friend of mine walked away with a bruised tailbone. No fun! Lift unloading is annoying!