Depends on where. When your getting the actual jewelry pierced into your eat it only hurts for a split second. It's more of a pinch than anything else and you may hear a little pop as it happens. Now after your war has been pierced it can tend to hurt and leaning on your piercing will also hurt.
I'm a professional piercer and I can tell you for certain that if done properly (and on the ear lobe), it will not hurt. Cartilage piercings do hurt, but lobes are not bad at all. By 'done properly' I mean without using a gun. Go to a piercing/tattoo shop, not some booth in the mall. A gun is spring loaded and uses too much force. It also can pinch the ear between the front and back parts of the stud. A proper piercing should be done with a surgical needle and a hoop style ring is used. The hoop makes it easier to clean because you can rotate it and the larger front and back of a stud can collect dried blood that will cause infection.