When I used to play, I've had paint stain before, but I'm not sure which brand it was.
As long as one doesn't get hit in the face (eyes), there's not much else that can go wrong provided all the proper safety precautions are met. Fields, or at least licensed ones, are very particular about the safety precautions for insurance reasons. I've been hit in the throat and it left a nice red mark on my skin, but that's it. What boys don't like the look of a nice welt or two to make them look tough. Its fun to show them after a round of paintball. It hurts, but not for long.
In case the point hasn't already been made, I'd stay away from pretty much all of the paintball stuff sold at Walmart. I do think they sell the 12 volt Viewloader Revolution, and that's a quality product. It may be the 9 volt, and I'm not sure how well that one works.
Tippman does make a quality marker. I liked the feel of the Kingman Spyder markers, too. A lot of fields use one of these two brands for their rental markers. I had an Automag R/T (not to toot my own horn, but...toot toot.)
One thing to consider while they're getting started is seeing if the field will sell you one of their used guns. It'll be beat to hell and back, but it'll get them started. If they want to stay in the sport, they'll want something better than a starter marker anyway like the Airgun Designs Automag, Worr Game Products Autococker, or even the electronic guns, tsk tsk.
Here's a link for National Paintball Supply's dealer listing page.
http://www.nationalpaintball.com/html/dealerlist/dealerlist.asp
Paintball is a great sport. It can teach a person plenty about gun safety, responsibility, and other stuff. Then again, it can also put someone's eye out.
Sam