After Buddha became enlightened, he went to the deer park at Sarnath to meditate.
He did not actually want to give any teachings as he did not think that there were people who could understand them.
The gods, Brahma and Indra, however requested for him to turn the wheel of Dharma for the benefit of all sentient beings, presenting him with a golden wheel and a conch shell respectively.
Buddha through his wisdom saw that there were sentient beings of different calibre and there were still those who could receive his teachings, understand and practice them and gain enlightenment.
So he consented to teach.
His first disciples were ones who undertook the practice of hardship with him earlier. The five of them have had karmic connection with Buddha in previous lives. In one of Buddha's past lives, he was a prince who encountered a tigress with 5 starving cubs. Out of great compassion, he fed his own flesh to them and died. He made the aspiration that when he gained enlightenment, they would benefit from his teachings and be liberated. These first five disciples were the reincarnations of the 5 cubs.
The first turning of the wheel of Dharma was on the Four Noble Truths. The teaching was mainly given to benefit the Theravadan practitioners and was on concepts that were easier to grasp.
The first truth: Truth of Suffering
The second truth: Truth of the Cause of Suffering
The third truth: Truth of the Cessation of Suffering
The fourth truth: Truth of the Path towards Cessation of Suffering
The first truth: Truth of Suffering
There are three types of suffering, the suffering of suffering (pain, anguish etc.), the suffering of change (what makes us happy is impermanent and due to the change, we experience sadness. All loved ones and friends will part from us eventually, we will grow old, we will lose the objects we like etc.) and the suffering of compositional phenomena.
The latter means that due to the fact that all in the universe exists from a composition of elements of suffering which will only cause us more suffering. Only the noble beings like Arhats and Bodhisattvas can feel the suffering of compositional phenomena acutely, ordinary sentient beings like us are suffering too much from the first two types to feel this subtle type of suffering. There is an example given that this last type of suffering is like an eyelash in the eye for the noble beings, but like an eyelash in the palm for the ordinary sentient beings.
All sentient beings who are born in Samsara suffer. Once we are born, we are bound to experience suffering. Before we are liberated, we will be reborn again and again within the six realms and suffer again and again. Samsara is made up of six realms: Hell, hungry ghost (preta), animal, human, demi-gods, gods.
Beings in the first three realms, hell, hungry ghosts and animal realms have fully ripened karma and are experiencing the fruits of it. They will not be reborn in higher realms until they have exhausted all their fully ripened bad karma.
There are eighteen hell realms altogether, 8 hot hells, 8 cold hells, neighbouring hells and occasional hells. Beings in the 8 hot hells suffer extreme bodily pain such as being continuously boiled in coals and pierced with sharp objects, crushed or slashed and are reborn again and again to experience the same suffering after dying from the pain. Beings in the 8 cold hells experience extreme bodily pain from the cold which cracks open their frosted skin. Beings in the neighbouring hells experience great bodily sufferings as well, they are born in environments like a ditch of flaming embers, plain of sharp weapons, trees with razor sharp edges etc. Beings in the occasional hells experience suffering based on the specific karma they have, like a butcher who vowed to only kill during the day get devoured alive by dogs in the day enjoys the company of goddesses at night.
Life in the hell realms last for millions of years.
The hungry ghosts have large stomachs but only needle-sized throats. They have great difficulty in finding food or drink and when they do, it is difficult for them to swallow the food or drink. Some of them can only find disgusting food like pus and excrement. For some, the food transforms into burning coal or sharp blades when they eat and they suffer greatly.
Animals experience persecution by other animals and by humans, they are exploited and suffer greatly. This is common knowledge in our world today.
The very common and apparent suffering shared by all animals and human beings is that of birth, old age, sickness and death. Human beings also suffer from unfulfilled desires and the suffering of change as mentioned previously.
Demi-gods suffer due to their great jealousy of the gods. There is a beautiful wish-fulfilling tree that has its roots in their realm but its fruits are available only in the gods' realms. For the fruits, they constantly wage war on the gods but are consistently defeated and never get what they desire.
Gods suffer as well. Even though they enjoy great pleasures in their lives due to good merits accumulated in previous lives, when they are close to death, their body grows dim, their throne does not please them and they feel uncomfortable, they start to perspire, their flower garlands wither and their clothes grow old and dirty. Through this signs, the god knows his death is approaching is extremely tormented by this knowledge. From his divine eye, he can see where he will be reborn in Samsara and the sufferings he will encounter, but cannot do anything about it. His companions do not come near him and only throw flowers at him from far and wish him well. Utterly alone, the mental agony of his fall grows more and more intense as his death approaches. He spends seven god days (seven hundred human years) lamenting. In comparison to the great pleasure he has experienced as a god, the suffering that he suffers from knowing about his fall is extreme, even more than the suffering of the hell beings.
For more details, please see excerpt from Words of My Perfect Teacher:
http://books.google.com/books?id=40i38mGQ6aAC&pg=PA71&lpg=PA71&dq=neighbouring+hells&source=web&ots=a4TXEnPkqK&sig=EIpor1IU_OBqnb27d7dnA89NAPo&hl=en&ei=p5uOSdeqNdKukAXu6o3RDA&sa=X&oi=book_result&resnum=3&ct=result#PPA94,M1
You can also read "The Jewel Ornament of Liberation" by Lord Gampopa and "The Torch of Certainty" by Jamgon Kongtrul Rinpoche.
Samsara is also categorized as three realms, the desire realm, the form realm and the formless realm. Beings of the desire realm have cravings and desires. These are all the beings of the six realms except those who have achieved high states of meditative concentration and are beyond desires.
The gods of the form realm have reached high levels of meditative concentration focussed on clarity and non-conceptual awareness but they focus on a form for their concentration. They do not experience extremes of pain or pleasure and do not have desires. There is no sexual distinction. They however will also fall back into cyclic existence eventually, as they are still affected by karmic cause and effect.
The gods in the formless realm have reached high levels of meditative concentration with focus on any forms. They are totally absorbed in the bliss of samadhi and do not have any form. But these gods will eventually fall back into cyclic existence too.
The Buddha taught the truth of suffering to generate the feeling of renunciation. Only by knowing the reality of suffering would one strive to make the fullest use of our precious human existence to gain enlightenment. The number of beings who are born in hell, hungry ghost and animal realms are uncountable, but the number of beings born in the human realm is in comparison like the number of sands on a finger nail. This is how rare it is to be born in the human realm.
The beings in the three lower realms are in too much suffering and do not have the leisure to do Dharma practice. The beings in the god realms enjoy too much pleasure and do not care to practice the Dharma. Only the beings in the human realm have the leisure to do practice but also encounter suffering which propels them to practice. So it is best to be born in the human realm.
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