I'm not going to say don't try new things. It's one way to find out what we like and don't like. But, there are somethings that one should always think twice about. You sound like you know right from wrong, good from bad as in habits. At your age it's very common to want to try things you're not suppose to. I know I did and somethings I really wish I hadn't. One cost me the friendships of 3 people and it was all my fault. I smoked for 18 years and finally quit, through a lot of work. If you take all the money I spent on smoking and add it up, I spent around $9,500, give or take. I'm so glad I quit.
Here's my suggestion, if it's something that can affect your physical health, wait till your older and see if you still want to. Sneaking out isn't a great idea because if anything happened to you, who would know. You won't be with someone at all times. Skipping school? I did it, went surfing, but my grades paid the price and in the long run so did career choices. I had to work harder later on to get what I wanted. Drinking? That's what cost me friends. I did some stupid things while drunk and to say you won't get drunk isn't going to work, you will, that's a guarantee. It can also do a number on your body, mind, relationships depending on how often. Smoking anything else? Hell, you'll get everyone telling you this and that about how good or bad it is. All I can say is of all my stoner friends, none ever really did anything with their lives till the quit. I can't speak about everyone, we're all different, but I did see how they turned out.
I know most people your age get tired of being told, "But your young..." But the truth is you are and though it may not seem like it, things you do today at this age, will help form your future. Am I saying don't have fun? No, not at all, but doing things you're not suppose to do for whatever reason doesn't mean it's fun. I did a lot and my body is paying for it now. You don't think about things like that when you're in your teens, you don't think about the pains and losses you'll have later, it's all here and now. I wish I had known that when I was younger, I'd have done a few things different.
All I can say is, you sound like you've got a good head on your shoulders, you think things through and you know right and wrong. Trust that in yourself. Wait to try somethings and maybe it'll be better when you understand them better. I can't tell you what to do, I can say that if you have a doubt, maybe it's something you should pass on, for now and don't ever let anyone pressure you into something you don't want to do, for any reason. (okay, that sounded like me telling you what to do).
Sorry this is so long, but I hope this helped and made some sense.