I've got a few piercings... 11 currently I think. Although I've had loads of others in the past that I've variously got bored off/given up on healing/lost etc.
Currently got: labret, madonna, nostril, left ear x5, right ear x2, nipple.
Previously I've also had: another in my nostril, scaffold in my ear, eyebrow, 6mm stretched ear, several random ear piercings.
None of them really hurt. Well, except the scaffold, that f**king hurt. But only because that involved two opposite holes in the top of my ear, so one had to go through the flesh first and cartilage after...
There are several ways of doing stretched ears, unless you really like scalpelling holes in your lobe though the easiest is to get it pierced first (properly, with a needle), wait until it heals and then buy a horn. A horn is basically a piece of shaped plastic that is pointed at one end and flares wide at the other. Essentially you slowly force this through your ear a little at a time over a period of several weeks until the hole in your ear is as big as you want it (it's important to do it slowly otherwise you could risk splitting your ear lobe). It's kind of sore, but by far the easiest way of doing it. If you ever want to close it up again you don't want to stretch it much past 6mm though - they can just keep getting bigger if you go much further than that.
For the labret piercing, you can get them done with a ring quite safely (I did with mine) but I wouldn't reccommend it. The problem with a ring is that it gets in the way and you're always knocking it, which is really uncomfortable when it's healing. Best to go with a bar first and put a ring in when it's healed (and you're a bit more used to it).