If you are considering an insulin pump you have either recently been diagnosed with Type 1 diabetes, or you have already had it for some time (Hello, Mr. Obvious.)
If you are newly diagnosed, read on, it really isn't that bad. If you have been a diabetic for quite a while you obviously know about injections and the pain you get from that. You know that the subcutaneous injections are not really bad at all. I would say that for 95% of my injections (before I started with my insulin pump) were hardly felt at all, when I used new needles (DO NOT FOLLOW MY EXAMPLE). I used to inject in my arms, legs, backside, and stomach. For you "new" diabetics, it really is true...you don't really feel the injection at all. The worst part, I found, was originally the expectation that it was going to hurt me. In actual fact, the only time I felt pain was when I re-used my needles. I used to use the same needle over and over again for insulin injections over the course of days. I figured "the needle still looks sharp, so it must be okay." It isn't. Take a look at the following picture and you will see why that injection was hurting me as I used the needle more often. Other reasons to dispose of needles after a single use are: multiple uses cannot guarantee sterility, the tip of a needle could break off inside your skin (ouch!), and the possibility of no longer receiving the exact dose of insulin you were trying to get.
When you are replacing the tubing and cannula (posts to come later explaining these), you are always using brand new needles (no way around it). It feels absolutely no different than injecting with a regular NEW needle the "old" way. I don't know why, but when I was first learning how to use my insulin pump I insisted on using a pull-loading device (much like your lancing device for drawing blood from your finger) that would "fire" the needle into my stomach. I was warned against it, but still insisted on it. I couldn't wrap my head around using the needle to insert that cannula manually. Quite frankly that proved to be a STUPID move on my part. Using the pull-loading device actually caused quite some pain in me (it may not in you, but I am only giving my experiences).
The only other time you feel a bit of pain is if your tubing gets caught on something and starts to try to pull out of your body (truly not as gruesome as I have made it sound). The tubing is attached to your skin with a sticky pad (much like a band-aid). The "pain" that you really feel is just the sticky pad pulling away from your insertion point. Quite honestly it is more surprise than pain.
Finally, if you are concerned about pain with an insulin pump, don't be. It really doesn't cause any pain.