I had braces in 2011 and throughout the first night I woke up constantly, it was a searing pain.
It does hurt initially, you need to get used to the strain on your teeth, but this goes away after two weeks or so.
Every couple of months, for me it was every two months, you have to get them re-tightened. The first time they tightened it felt horrible, agonizing pain. Back to square one. The second tighten, I didn't feel anything, and for the rest of my time with braces I never felt that pain again.
One thing I should mention, I once had a piece of the metal stick out, so everytime i moved my mouth it cut my lip slightly. I tried ignoring it for about 3 weeks and it went away, but it was a bad decision. If this happens report it immediately, I ended up scaring my inner lip, I just couldn't feel the pain anymore. They will give you a gel you put on any locations until you can get an appointment.
Two years down the line, they were worth the pain.