I just had one done on Tuesday and it wasn't really bad at all. I sat down in a chair and had my hair up in a pony tail. He simply injected a small needle in my neck/head, where the actual nerve is. You feel a litle pin prick which doesn't really hurt at all.
It is way less painful than when you go to the dentist and they give you a shot in your mouth. I can say that when he injects the anesthetic it is a little uncomfrotable from the pressure for a few seconds, but it doesn't really hurt. He did it in each side of my neck (into my occipital nerve)
Each side lasted maybe 30-45 seconds and then it was over. I had to stay there for about 20 minutes to make sure I was okay. Afterwards my head and neck felt funny, a little numb. All and all it was not bad at all.
The next day was when I felt pain in my neck, but I just put ice on it and then the following day I was okay. Believe me, it is nothing to be afraid of! Especially if you can be pain free afterwards!
Good luck and don't be afraid! I was afraid too, I guess it is natural. All this is new to me. I experience migraines from time to time, but not like this, than all the sudden I have all these medical appointments and tests and they can't figure out what's wrong with me. Its hard to swallow.
Good luck and keep us posted!