A Prince Albert for the guys would be very painful, for obvious reasons! For the women, I would imagine that a clitoris piercing would be quite painful. Also, a septum and an eyebrow being pierced is also probably pretty painful.
I know numerous people, including my wife, who have had their tongues pierced and they say it really doesn't hurt as much as one might think. My wife said getting her tongue pierced was not as painful as getting her second ear piercing.