Except for microdermabrasion, they all hurt. Why? If a cosmetic procedure is supposed to induce collagen production and build the extracellular matrix, the skin will have to incur some kind of injury to the dermis, and that will necessitate some pain. Although this seems contradictory, lasers, light devices, peels, and even injectables all have to get down to the dermis and injure it to effect some kind of wound healing response that will make it stronger. For example, radiofrequency devices (such as Thermage) firm the skin by using heat to contract the tissue deep in the fat layer of the skin; that's got to hurt.
As for the pain itself, this is a new era of pain management for cosmetic surgery, and there are now wonderful technologies and anesthetics to make a patient more comfortable.
Find out more about this book:Simple Skin Beauty: Every Woman's Guide to a Lifetime of Healthy, Gorgeous Skin