If you have time to take an NCT class (not just the ordinary NHS one, those were crappy and unhelpful), I can't recommend it enough. It was the best thing I could have done. Besides being an excellent source of information on how labour feels and what you can do to cope, I also made a small group of good friends. I can't stress enough how important it is to have people in your life with babies the same age as yours and who are going through the same things as you are (even if you have plenty of friends with older children already). I found the discussions we had about what labour would feel like, why it would feel the way it did at certain times, and the best things to do to cope with it were invaluable. I know some people just like to know nothing going into it, but I found that understanding why I was feeling something and that it was normal and would be over soon made it so much easier and not scary at all. It was also really helpful to have a frank discussion about pain relief, things we could do that helped if we didn't want to use any drugs, and some of the side effects of those drugs.
If you do want to have a natural birth, it's totally and absolutely possible. Being active and being in water can both help and I'd recommend leaving both options open until you see how you feel in the moment. I was a first-time mum, had my daughter at home and didn't need any pain relief (not even gas & air), but I did prepare myself really well. I learned relaxation techniques and I practiced natal hypnotherapy, both of which were so, so helpful. I also learned a lot about how it would feel, what the contractions would be doing, and why it would feel like that when it did. It made it seem not scary or stressful and that helped me to stay relaxed. I planned a water birth, but I was happy just bouncing on my birth ball with a TENS until I started to get the urge to push. I got in the pool then, but actually I didn't like it and decided to get out and walk around the house instead. That worked great for me and I'm glad I had the option for both. I'd say if you like the idea of a water birth, plan for that. But also learn other techniques too (like massage your partner can do, different positions for labour, breathing and relaxation techniques, hypnotherapy, etc.) that you can also have in your tool box.
You really can do it and it really is very manageable and doable. Giving birth with no pain relief was no where near as painful as having pneumonia or having a knee operation for me! It was intense but not overwhelmingly painful. But the more options you can give yourself the better. And keep an open mind. You might find something works in the moment that you hadn't expected.
