Every teenager is going to feel stress. This can't be avoided - driving license exam, first job interviews, grades they get during high school finals, new friends and enemies and finally sex - all those problems will appear in the life of your children and you can't do a thing about it. The only thing a parent can do is to help their not so little kids to cope with the problems without invading their privacy.
Grades are what stresses teenagers most. They fear what the grades will be, what their friends will think about them and how their parents will react. You simply have to bring down the stress coming from that source to a more manageable level or your child will suffer from long-term stress disorders. Here's what to do: 1/ keep an eye on your children performance all the year; 2/ if you notice some problems, do not yell, but offer your assistance; 3/if you, for whatever reason, can't help, give your children an opportunity to learn from a tutor.
Another major problem for teenagers is the pressure they get from their peers. They may all try to force your children into drugs, leaving school, smoking cigarettes or having sex. However, you must not cut your children's ties with their friends and schoolmates - lack of contacts with other teenagers would result in dire psychological pathologies and underdevelopment of crucial social skills. The thing that you should do is to explain clearly and to the best of your ability what will happen to them if they get in trouble with, say, drugs and what awaits them in future if they stay clear of trouble. Also, it is a good thing to help them find funny activities and interesting pastimes that will be enjoyable by teens and won't cause destruction in their lives.
"The first time" is probably one of the most dangerous causes of teenage stress. There are people who do not feel stressed about grades. They are people who are impregnated against the negative influence coming from their peers. However, there is no one who is not stressed when it comes to having sex for the first time. The role of parents in such situation is very delicate. They cannot decide for their teenage children when and with whom this will happen - this is one sphere where no teenager will tolerate parent's interference. However, you can make everything safer and easier for their kids if you talk with them a lot about relationships and sex and give them all necessary information to make an informed choices. Tell them that not being ready to have sex is perfectly normal and breaking relationships if one side tries to force sex is perfectly ok and is a sign of strength, not weakness. Also, make sure that your children knows about all good and bad sides of sex and is able to see the alternatives to their current situation. This will make all the stress much smaller and all possible mistakes much easier to cope with.