Your mouth will be sore for a few days as you adjust to the feeling of metal in your mouth. Alternatively, when you get them off, you will feel like you have a giant gap between your lip and your teeth.
As to how they feel, Martin is correct with the barbs. By week two, though, you shouldn't feel a thing.
Your orthodontist will give you a packet about what to eat and what not to eat. Not attacking Martin, but gum is strongly discouraged, as it may pull your braces out. Eating apples is also strongly discouraged, but I never figured out why.