I'm bored and lonely, so I'm visiting boards I have no reason to....but I am 19, so I was at the 'trying out tampons' thing just 6 or 7 years ago.
I never had a problem with tampons, but in conversations with my friends, what I've heard across the board is that their moms would tell them that if they can feel it at all, it's not in enough. Go and try again, and again and again until you can't feel it. If it goes too deep there'll be a sharper belly pain, not an uncomfortable chafing pain, but it is very hard to get it too deep.
I liked the unbleached cotton ones my mom got at health food stores (not sure the brand, "natural" something in a tan package with a daisy on it, but it was OB style but way more comfy). I did use applicator ones for when I was out, because there is a risk of blood on fingers heading to the sink, which can be embarrassing at school, and I only liked Tampax applicators.
When I was 16 I got hired as a swim instructor, and after the first 45 minutes or so in the water, a tampon would be so terribly uncomfortable, I hated it every single time. I hated walking, and sometimes I'd stain a towel light pink so I was constantly paranoid. I tried instead cups, I tried almost every brand of tampon, they all sucked in the water. I was inches from ordering sea pearls or a divacup when I found out I was pregnant, so I have no input there, but maybe sea pearls would be a good choice, since they're a much less threatening shape? I don't know how big they are though...