Just a clarification: When Rhonda says "reports on LP's have been positive", I THINK she means that people are reporting that the LP didn't hurt, and wasn't so bad after all...not that the results of the LP were "positive", indicating some disease or disorder.
I've never had an epidural, so can't offer a direct comparison. But here's what happens with an LP: You'll be asked to curl up in the fetal position, to give the doctor (or technician) a tight spine to work with. You'll feel a needle with the anesthesia (a local anesthesia)...and then when they do the actual lumbar puncture, more a pressure and a "pop" sensation when they enter the spinal column.
So a needle stab, and then a weird sensation should be about all you feel. The worst (and most common) side effect is a severe headache afterwards, but if you carefully follow your doctor's directions -- usually that you should drink plenty of fluids prior to the procedure, then lie flat afterwards for several hours -- you should be fine.
As Rhonda suggested, if you DO get the headache, it should appear within 24 hours of the procedure. Don't hesitate to call your doctor and ask for the blood patch: they take blood from your arm, and re-inject it into the spinal cord, near where they drew the spinal fluid. The idea is to get the fluid levels back to near-normal -- the disruption in fluid levels is what causes the headache. It only takes a few minutes and the headache is immediately relived, so don't hesitate to ask about it.
I hope you find some results and can get treatment for your problems!