Gawd! I luv having my eyebrows threaded! I am allergic to waxing and before threading, I just pluck my eyebrows.
With threading, at first, it will sting a lil bit.. but when you go the 2nd, 3rd, etc.. time around... it will be not as stinging as it was the 1st time. Plus, your eyebrows doesn't grow back that fast unlike with waxing or plucking (in my case, anyway).