I had HSG and I too was scared to death, but my Re told me to have a full bladder (even if they tell you to go to the bathroom do NOT go) I was given a shot in my bum about 30 minutes prior so it was not bad at all, and I am a total wuss when it comes to my pelvic area. Also, make sure they inject the dye very slowly, if they do it quickly in a big hurry I heard it really hurts. If you can't have a shot beforehand, take 600 mgs of Ibroprofen and thing positively.
However, I have heard if you have any blockages, it is really painful, but I luckily did not have any.
I also just had a Hysterosonogram last week and it was not painful at all, do not worry about it. I again was told to have a full bladder and take 600mg of Ibroprofen so good luck.