I was given an internal by my OB at 39+6 to see if I was ok for an induction (because of PE). It hurt a bit and got some cramps going.
I had in my birth plan that I wanted no internals unless medically necessary (ie. there were problems), so the midwife just used the progress and intensity of my contractions and then when I told her I needed to push and a couple more times in the second stage (which was rather long) she checked my "anal dilation"... charming I know LOL. This wasn't painful at all as she just took a peek at my bum.
You certainly can elect not to have them and I would do the same again