I doubt that your vagina is too small- your vagina can stretch to accomodate a baby after all, and if you have normal periods, and furthermore, had intercourse, it means that your hymen (if you have one) does not cover the entry completely (a very rare condition).You guessed correctly that lubrication was probably a big reason as to why you had trouble with intercourse before- you should use a good water based lubricant like Astroglide. It's also possible that your hymen wasn't eroded completely- but not necessarily- it could have worn away from sports, tampon use, or you may not have been born with one.
You didn't say whether or not you had protected sex when you last had intercourse, and if you didn't it is extremely important that you get tested for STDs/STIs- you don't want to put yourself or your boyfriend at risk by not doing that. And also remember, don't have unprotected sex with your boyfriend (and that means oral sex too!) until you've been monogamous for a year and tested twice for STDs/STIs six months apart.
If you do have any concerns about feeling embarrassed/uncomfortable with your boyfriend while in a sexual situation, then make sure that you talk about this with him beforehand- after all, if you're going to be doing something with him, you need to talk about it. 
Here are some Scarleteen articles that I recommend that you read- come back here if you have more questions after reading them:
Ready or Not?
First Intercourse 101
Safe, Sound & Sexy – A Safer Sex How-To
[This message has been edited by Beppie (edited 03-04-2002).]