My mum was Type 2, and occasionally used to insist on testing me. I wasn't diabetic at the time, so they were always good results. But I was kind of used to Mr Stabby from that, and already aware that you're better pricking the side of a finger or thumb, rather than the pad. Even so, I cringed the first time I did it since starting a couple of weeks ago. But that went away after the first couple of tests.
I'm finding it highly variable. I have to have my lancet set for maximum depth to get a result. Sometimes I barely feel it, but get a good sample. Sometimes I feel a sharp prick (but nothing that makes me jump out of my skin) and even after over a minute of massaging, still can't get a droplet big enough to sample. It's kind of Russian Roulette as to whether you hit a nerve or hit a capillary, neither or both.
No soreness after the original scratch, but I've noticed that handling certain (e.g. salty) foods and substances afterwards can irritate the sample site, much as they would for a finger cut.
I'd liken it to getting a tattoo, except that you only get scratched once, rather than hundreds or thousands of times.