Yvette - I asked about an epidural in the very early stages of labour after my waters were broken. Mum laughed at me but I was only asking because I didn't want to miss out on one when it became too unbearable. I was induced due to high blood pressure so the midwife said that if I wanted an epidural, it would be better for me to have it early because it can help to lower BP.
When it was administered I felt no pain at all as I was having contractions and was breathing through them with the gas. I would not hesitate having another one again (although I will probably have a c-section again so it may not even be an option).
When it came to having the emergency c-section, they were able to just numb me more via the epidural.
The IV in my hand actually hurt more (sometimes more than the contractions had!).