Hi naenae,
I have no personal experience with IUI, but a few things occur to me.
You asked about having your tubes tested - does that mean you haven't yet had any of those sort of exploratory investigations? Personally, if you know your ovulating 'well' and DH's sperm is good, then that would be my next step. You want to know if there are any physical issues (espcially since they make IUI pointless anyway).
The other thing to consider is the success rates of IUI versus IVF. With much lower success rates, if you weigh the two options, IVF, even though much more expensive per go, can look like a better option. But of course you then have to weigh this against your (understandable) desire to avoid those awful drugs. Just a thought.
I would guess it would be similar comfort-wise to having an embryo transfer (?). The speculum can be uncomfortable, but otherwise it is ok for most women.