JoyRenee really hit the nail on the head. It really varries per pregnancy. My first symptom that made me think I was pregnant was that I had really bad breast tenderness...
Well some women feel as though they know they are pregnant just hours after fertilization. It can be instinctual (never was for me, personally!). Crampiness is the first symptom. Fatigue, breast tenderness follow. Bloating. Morning sickness tends to happen a little later (like when you're expecting your period or later).