I've used nair a couple of times...it didn't hurt me but it tingled/itched after. It's all just a matter of setting a timer and making sure not to rub the stuff into your skin, and also don't use it in sensitive areas (face, pubic hair, thighs etc.)
I agree with Orihime...if you can stand a lot of pain, get a good quality epilator (something worth around $40-50+). I got mine about a month ago and it was worth every penny. The first time using it sucks...but after using it a few times your body hair will definitely be thinner.
You may want to shave or use nair in advance before you epilate an area, you don't want to epilate longer hairs. Trust me I did my arms and it hurt really bad, but it beat the alternative of shaving and then looking stupid (stubble).
My epilator was $130, it's he Philips SatinPerfect, it comes with three attachments; a hair lifter/massager, the regular top piece, and a shaver. It's cordless and it's battery lasts for hours...best transition investment I've probably made so far.
-Skye