I did find it painful as it was being pierced but it was only for a matter of seconds. It was stinging after for a short while. I would also advise being careful when wearing earphones, as you will have to push the bar out a little to fit the plug in.
In comparison to my ear lobes, nose and Belly button, it was probably the second worse after belly button.
I had mine done in Blue Banana, and it did cost me £30 as I wanted a gold bar, with a colour stud. If you have the standard silver ball however, its probably £15-20 in BB