Well, I'm not pierced (nor do I want to be) but I do know people who have had piercings, albeit only one guy who has his nipples pierced...
It hurts, bad and from what I have seen having gone with someone who had this done and being in the room when it was done, it is possibly the most painful piercing you can do (comparing his reaction to the reactions he had when he got other piercings and the reactions of two other people who had other piercings , if that makes sense).
It can take up to a month and a half to heal fully, much like other piercings.
Basically everything BFG said in his post.
My only other advice would be to carefully research the place where you have it done. Look for reputable piercers and check online to see what people have to say about them. I'll probably get flamed for this but...I see you are also in MA. If possible go somewhere in NH, or RI. Piercing is only a few years legal in MA and you might find someone more experienced in NH, where it's been legal longer.
If you have any allergies to certain types of metals (and many people do), find out about it through some other piercing first, you do not want your nipple to get infected.
And get pierced with the best possible metal you can afford, even if you have no reactions to cheaper metals, you definately want the best stuff possible for a new piercing.
I also remember when my ex had his done, he got pretty sick (dizzy and weak) after it for a day or so. Could have just been a reaction to the pain, but I don't know. When my other friend had her belly button pierced she had a similiar reaction and they were both done at different piercing places.
Don't go by yourself if possible.
Good luck,
Sheri