The hardest part for me was going through all the steps just to get ready to get the braces put on. Most of it was painless. At the start, my first orthodontist was concerned that I might have a tongue thrust problem, so I had an appliance that I was supposed to wear at night. It was too annoying and I don't think that I ever really wore it. She did have me wait about 6 months just to see if my teeth were stable.
After I moved, I had all my records sent to another orthodontist who took over my (pre)treatment. He took a look at everything, did his own examination, and not long after that had me in braces, metal top and bottom. I had several sets of impressions done. If you just relax and don't allow yourself to get stressed about the impressions, it goes a lot easier. Breathe through your nose instead of your mouth, that way you don't feel like you are gagging and can't breathe. Ask if they have flavored impression material, it does make it more pleasant.
I could hardly wait for the day that I finally got my braces on. They did both top and bottom at the same time and gave me a very flexible wire. I didn't have very much discomfort at all, even when the teeth started to move.
Go into it with a positive attitude and try to enjoy everything that happens. After all, it is "expensive jewelry", just show it off for as long as you have it.