I haven't had my face done yet, but I have had my chest, stomach, and arms done.
Basically, it is different from person to person, depending on many factors such as skin type, hair colour, skin sensitivity, pain threshold, nervousness and ability to relax (trust me, this is important), the capabilities and experience of the technician performing it, and the quality of the machine being used.
I was fortunate that I had the right skin type and hair colour, a high tolerance to pain, and experienced staff doing it. With the exception of a couple of minor blotchy patches on my chest/stomach, and a little bit of an itch, I didn't really suffer anything bad, and the blotchiness disappeared after a couple of days.