I would think the sensation might be similar to getting tattooed, except with far fewer needle sticks?
I know that my tat hurt quite a bit, but I got it in a sensitive area; it felt like a lot of cat scratches. What was bad was my reaction to the endorphins-- they made me sick. And I consider myself a masochist and loves [a certain amount of] pain! But it really depends on how your body reacts to pain. Some people find this sort of sensation relaxing, some irksome but bearable, and then people like me who apparently get lightheaded, sweaty, and nauseous from it (but can tolerate the pain itself). To be honest, I found getting my legs waxed hurt more than getting tattooed. :B
OH! And there are a number of other little things that will affect how your body reacts to the endorphin rush and process the pain. In retrospect, I figured out that being talked to while I got my tattoo didn't help because my mind wanted to relax, so I had to work extra hard to reply as the tattoo artist and my mom kept talking to me to try and "take my mind off it". I'm guessing that's standard procedure for tat artists and clients. For some people, it might help, but for me it just didn't. I don't know if it's typical of hair removal techs, but just know that you might fare better one way or the other.
Ear piercings are a breeze, practically painless. They just feel very warm afterward and sting if you play with the jewelry too much.
Have you ever had blood taken at the doctor's office? (I assume you have if you're on HRT.) That's worse than ear piercings.