Everyone is different. Some hymens bleed profusely when broken; others don't bleed at all.
By the time we reach puberty, our hymen has already begun to wear away. If it didn't, it would impossible for our menstrual blood to exit the body. A lot of women break their hymens through nonsexual means. This could include tampon insertion, horse or bicycle riding, dancing, gymnastics and other strenuous exercises. But yes, some women's hymens tear during the first time they have sexual penetration (that includes by penis, fingers, toys, etc.).
Some women have really thick hymens that are resistant to tearing. This can be a problem if they want to use a tampon or if they are having trouble having sexual intercourse. If this is the case for you, you can see your gynecologist, and s/he can perform a quick hymenotomy (this involves the hymen a quick, surgical snip). Dr. J