Moglie
I had an internal at 37 weeks to find I was 3cm dilated and fully efaced and then I didn't go into labour til 40w2d. I had a VE when I got to the hospital and another when I said that I was ready to push. The most painful thing about them was getting on my back - I didn't feel the VE at all - because I was focussing on contractions. I had a 6 hour labour though and neither my doula or the midwife was going to let me push until they'd checked me. I'm really glad I had the VEs, particularly the last one, because I knew I could let my body push (because I'd reached 2nd stage). If I hadn't had the VE I would have gone on a lot longer before realising I was in Stage 2. But that was just me.

With respect to the actual "how it happens" - My ob had big hands - and the VE at 37 weeks was very uncomfortable because he did have nearly a whole hand in there. But it was mercifully short in duration - probably 2-3 seconds at most. For the VE's during labour - everything is so descended they don't have to go in very far - that's probably why I didn't feel anything. Everything - and I mean everything - becomes very stretchy.