So far all the people I have seen do it, including my friend, said that pain is actually not bad and she didn't feel anything past the initial piercing. I think for me, it's going to be more of a "mind" over "Pain" kind of things. Kind of like how I dealt with the pain associated with my condition by blocking it out for the most part. I've just always thought it was pretty interesting and figured: "Hey, why not."
It's one of the more extreme things on my list of things to do. Last month I did a fun thing: Went scuba diving and had a mock tea party underwater, along with underwater pumpkin carving. Which... is much harder than it seems... lol.