They hardly hurt at all. The only part that hurts is when they are tightened, and for the first few days that you wear them. They make your teeth sensitive to pressure, so that you can only eat smoothies, soups, peanut butter, etc.
You might or might not need a palatal expander, which goes on the roof of your mouth. It makes it difficult to talk correctly and swallow for the first few days, but you will get used to it. Braces suck, but they are not too bad at all, and totally worth it!
Braces hurt for a couple of days as they are tightened. However, you should visit a dentist if you bleed. You could be talking about Biteplane which helps the patient from biting him/herself. Note that, you can still swallow but you need to be choosy on what you eat. Read more on http://www.mybraces.com/Treatment/Eating-With-Braces.aspx.
Monthly changes to the wires make your whole mouth hurt. Also, they have trouble clipping the wires so more often than not you have wires at the last molar sticking into your cheeks. When I got my braces off and switched to the retainer, it hurt so bad I cried almost all day for 3 days, because every tooth in my mouth was lose and hurt badly