Threading doesn't look painful, but it is (as my mommy used to say, "stars and garters!"). Here's my video to prove it. I've done everything from bleaching to waxing to plucking. Threading is, hands down, the best way to effectively remove the tiny little hairs on your face (around your mouth, chin, 'stache, etc.). The process takes about 5-10 minutes, depending on your threshold for pain and your need to come up for air before you run screaming from the building. The hair doesn't regrow for at least 5 weeks and it costs about $15.
Note: The threading woman is named Nikoo, she's from Iran, and she must love watching women go through excruciating pain for beauty, because she's been doing this a loooong time. If you want her number, leave a comment.