I had a LP (spinal tap) last November, and it didn't hurt at all. After I got home, my back did hurt when I moved for the rest of the night, but I was supposed to stay still anyway. There is always a risk with this, of course, but I didn't have any problems. Some get the headache and have to have the "blood patch" like other posters mentioned (my co-worker had to have this). When I was younger, I had them weekly because I had cancer, so they had to not only check my spinal fluid, but inject methotrexate as well. Many people get worked up about a spinal tap, but again, I never a single problem when I had them done all the time nor last year.
As for what they're looking for, mosting the protein thing that was mentioned. They did a Lyme titre on me as well, negative. Just as others have said, they can't absolutely rule out MS even with a clean test.