As well as the usual vibrators/dildos etc often used by SPs, I've only had 2 experiences with pegging, and that taught me that the level of pain v enjoyment depends on the care and experience of the lady.
I visited a dom near to Llangollen years ago who operated from a nice secluded cottage in the countryside.
She was blonde and gorgeous figure.
She also had a mature maid who helped her.
As it was my first experience of a real dominatrix, I wasn't sure what to expect so I agreed to go along with a few roleplays etc, as I was hoping to get a shag at the end.
To cut a long story short, the session ended up with me on my back, with the maid riding me cowgirl and the dom pegging me enthusiastically.
Maybe I wasn't relaxed enough or not enough lube, but it was quite a mixture of pain and pleasure from them both.
The other time was much better. Performed by the lady co-owner of Townhouse Swingers in Birkenhead who really knew what she was doing, giving me a good seeing to as I was bent over and wanking.
The moral of the story....do your research, read reviews and get advice before booking, as you want that first experience to be a positive one