IMO it really depends on the place you go to and the technician you get. My first brazilian was not painless but totally bearable, and I'd never been waxed anywhere before. The esthetitian used a special kind of wax (I think the same kind sarcal just mentioned, except it was a honey color, not blue), used baby powder to make sure my skin wouldn't get pulled up and got me a little involved at the beginning to take my mind off of it. It was great. I came away wishing I had the $$ to do it regularly.
My second was at a different spa I a gift certificate for, and it was HORRID. The woman's theory was that the quicker she did it, the better it would be. She was careless and ended up having to do a lot more work because she didn't do things properly the first time around. It was so painful and I somehow ended up with bruises! Not pretty.
So I guess just do your research and make sure you go to a good person and you will find that the few moments of not-very-excruciating pain are totally worth it.
I can recommend someone in Chicago! And give you a really big warning about someone else in Chicago, lol.