I've been getting my eyebrows threaded for almost 8 years now.. to be honest, I think it depends on who you get to do your brows. Some are more delicate and slow, others are fast and furious

. Sometimes if I haven't gotten them done for a couple months, it feels like a razor blade on your face, and other times you barely feel it, and once it even felt soothing and good! Sometimes my eyes get a little watery from the pain, but it's definitely bearable. I think you get used to it the more you do it.
Compared to waxing, I'd say waxing would be a bit more painful simply because 1) they're pulling out a lot more hair at one time versus the amount of eyebrows removed and 2) I'm a lot more used to pain on my face than pain down
there. However, I totally recommend waxing. I was quite anxious about it (think about the scene from the 40 Year Old Virgin!) and I'm the type of person that generally likes to avoid pain, but it was a lot less worse than I expected it to be.
Cheers and good luck! If anything, maybe bring a girlfriend to come along to help ease your anxiety. It could be a lot of fun!