Not sure if grad school was the right choice I went to a tiny undergrad school and majored in math.  I had absolutely no idea what to do with my major, so I went to grad school (I've been here for two months now).  Now that I'm here, I'm leaps and bounds behind everyone else, and I don't understand anything in any of my classes.  In my undergrad classes I was always one of the top few students, but now I can't figure out anything by myself.  Is this kind of thing normal?  Should I even be here?  

And if not, what am I going to do with my life?
You're experiencing what a lot of graduate students go through—moving from being a big fish in a small pond to being a big fish among other big fish in what seems to be a vast, uncharted ocean. Feelings of frustration, confusion, and even bewilderment are normal. It's part of the adjustment process. The truth is that many of your classmates are likely going through the same difficulties.

The question to ask is not "Should you be in grad school?" The question to ask is "Do I want to be here?" If you do, then don't let imposter syndrome drag you down! Also, remember that research bears often little resemblance to classwork.

Now, on the other hand, if you've realized that you're not interested in doing a PhD anymore, then you'll be much better off figuring out what you'd like to do instead. There are a lot of career options for mathematicians, and wasting a bunch of years getting a PhD you're no longer interested in won't be of much use for you in the long run.