The type of the epilator does matter when it comes to pain. We used a Philips HP 6402 for 4 years with my girlfriend and after it started acting up we got a Braun Silk Epil 5. The difference between the two is easily noticeable, epilating with the Silk Epil 5 is less painful, but it is twice as expensive. It has some great features that the Philips one didn't have such as LED light, massage, also there is a cooling glove in the package and a little brush for cleaning.
I have a very sensitive skin and at first epilating was unbelievably painful. At first I had to force myself to continue, but now it is not a very big problem and much less painful.