Well... I've had my navel and my nipples pierced twice, I have a surface bar in my chest, and the first time I stretched my lobes, it was from pierced to 10g. And they hurt more than all of that. Not enough to make me cry, but it takes a lot to make me cry.
But it's like any other piercing. It's going to be different depending on the person getting it. I have this thing about pain in my central areas (head, chest, etc.) It totally knocks me for a loop if something in my center is upset in some way. So because my nose is smack-dab in the center, I think that's what a lot of it had to do with.
I say go for it. Like with any other thing, once you know it hurts, it's pretty much over.