I use a diva cup.
I started using menstrual cups years ago, and am a bit of a menstrual cup fiend. I've tried the Lunette, the Ladycup, the Moon Cup and the Fleurcup. Some of them come in very pretty colours as well.
The ladycup is soft and squidgy, and comes in several colours. The size small is very small, while the large is a lot bigger. I like this one, but the large is too big for me and the small doesn't hold enough for my heavy periods.
The fleurcup is french, is pretty and comes in colours like lilac and pink. I like it, but it is slightly harder silicone than the Diva or Ladycup.
The Lunette is the one most people on boards seen to like best, but I hate it. It is very stiff so I can feel it inside me. You can get them in a pretty blue colour though.
I find the Moon Cup UK very uncomfortable, it was the first one I used but I wouldn't use it again. It has a pronounced rim which I seem to be able to feel.
I LOVE the Divacup! I know a lot of people find it too long, but if you insert it to just past the pubic bone it is very comfortable. Plus, it is easy to remove all the stem on this one because it has a good grip on the base of the cup. Nice and soft too, and holds a lot.
INSERTION:
Some cups pop open easily, others are more difficult. It took me AGES to get the hang of easy insertion - so much so that when I first had a mooncup I made myself an 'applicator' out of a mini plastic bottle with both ends cut off.
Now, I always use the c-fold, basically just flattening the rim of the cup and folding it in half, then using finger and thumb to put it far enough in before letting go and letting it pop open. It may be that you need to adjust the positioning after it has popped open - I sometimes find I need to push it a bit further up. The diva is very comfortable but doesn't like to open up so well. You can tell when it hasn't because it feels a bit flat when you run your finger around it. You should always do this to check the cup has popped open correctly. You might need to reinsert, but one trick is to run your finger around the cup, move the base in a kind of circling motion and maybe prod the sides of it a bit to try and release the seal. I think this happens with the diva because it is softer and has smaller holes in the rim, but you get the hang of how to deal with it.
STEM REMOVAL:
I always remove the stems as I find them uncomfortable. Once you get the hang of easily removing your cup this should not be a problem.
REMOVING CUP:
I struggled with this at first. I always remove all the stem because I find it uncomfortable, so when I first got a cup - a Mooncup - I found removal hard. In the end, I used a needle to put a piece of strong nylon thread through the solid base bit of the cup and made a string a bit like a tampon. A lot comfier than the silicone stem. Now, I have got the hang of removing any cup without any stem. If you sit on the toilet and 'reach up' inside with finger and thumb while bearing down, you should be able to grasp any cup, even the upper rim with ease. You should also be able to pull it out without spilling everywhere - it is just practice. A twist or pinch to the base can help break the seal.
COST:
At the moment, the cheapest place to buy the Diva and Lady cups is on ebay. The Diva works out at about £12, the Lady often goes for less as an auction. The Diva is sold by some people in Derbyshire on ebay. The others work out at £18-22.
I have extremely heavy periods, and find menstrual cups great because of this - with tampons, even super, I'd be changing them every half hour and often leaking. The cup only leaks when I am extremly heavy, and I tend to use a cloth pantyliner in a pretty pattern as backup - far comfier than plastic - look on etsy for some great ones. On lighter days, I never leak and wouldn't even know I was on my period.
I wear my cup at night together with a pad and just rinse and pop back in in the morning. In fact, I have 2 regular cups I alternate, and I sterilise them in between with a milton tablet popped in an old jam jar. DON'T forget to sterilise them at least once a month. I don't think you should leave it more than 2-3 days without sterilising, really. And if you ever get yeast infections it is even more important. I did once have thrush when I started my period, I only used the cup once and then used pads and although I washed it I forgot to sterilise it, and lo and behold the next month I gave myself another yeast infection. Gross, I know - but milton kills all yeast within 30 seconds.
Overall, they are brilliant - give them a go! If you want links to all the cups, look up 'menstrual cups' on wikipedia.