I had a mirena.
Yes, it hurt when I got it put in. I took 3 aleve about a half an hour before the procedure (which I recommend) and it still hurt quite a bit. I had never realized what my cervix felt like until that moment lol.
However, it didn't hurt so much that I wouldn't do it again, I would. I have heard that if you find a doc that is experienced at it it hurts less and there are less risks as well. So I'd advise you shop around.
I've heard that with the paraguard, you might have spotting and heavier periods for the first few months, but it goes away. I personally had a little spotting right at first and then no period at all, but that was on the mirena so it's different.
The chances of it coming out or perforating are very rare!