If you get stung by a jellyfish pee on it immediately (the sting, not the jellyfish). I wish I had known that after Cozumel when I got stung on the hand. I burned for hours.
A jellyfish sting is irritating, but it isn't life-threatening as far as I know.
Of course, you don't want young kids getting stung since they will cry for hours, but for me it was an irritation but not a big deal.