I had a EMG along with a NCV by a physiatrist in 2003.
In my arms- I had no trouble with it, but I have heard that it maybe the skill if the dr doing the needle insert that makes a difference in the pain or not.
Plus if you are in great pain already or not.

[Procedure

To perform EMG, a needle electrode is inserted through the skin into the muscle tissue. A trained medical professional (most often a physiatrist, neurologist, or physical therapist) observes the electrical activity while inserting the electrode. The insertional activity provides valuable information about the state of the muscle and its innervating nerve. Normal muscles at rest make certain, normal electrical sounds when the needle is inserted into them. Then the electrical activity when the muscle is at rest is studied. Abnormal spontaneous activity might indicate some nerve and/or muscle damage. Then the patient is asked to contract the muscle smoothly. The shape, size and frequency of the resulting motor unit potentials is judged. Then the electrode is retracted a few millimeters, and again the activity is analyzed until at least 10-20 units have been collected. Each electrode track gives only a very local picture of the activity of the whole muscle. Because skeletal muscles differ in the inner structure, the electrode has to be placed at various locations to obtain an accurate study.

A motor unit is defined as one motor neuron and all of the muscle fibers it innervates. When a motor unit fires, the impulse (called an action potential) is carried down the motor neuron to the muscle. The area where the nerve contacts the muscle is called the neuromuscular junction, or the motor end plate. After the action potential is transmitted across the neuromuscular junction, an action potential is elicited in all of the innervated muscle fibres of that particular motor unit. The sum of all this electrical activity is recorded as a motor unit potential. This electrophysiologic activity is evaluated during an EMG. The composition of the motor unit, the number of muscle fibres per motor unit, the metabolic type of muscle fibres and many other factors affect the shape of the motor unit potentials in the myogram.

Nerve conduction testing is also often done at the same time as an EMG.

Because of the needle electrodes, EMG may be somewhat painful or extremely painful to the patient, and the muscle may feel tender for a few days. There also exists "needleless EMG"—an EMG performed using surface electrodes—though it gives much less accurate results with a higher level of disturbance from the surrounding environment.]
http://en.wikipedia.org/wiki/Electromyography