My first Mirena ejected itself within a couple of weeks. Had the joy of having another inserted. However, I think a couple of seconds of pain is worth it, the pros far outweigh the cons for me. My periods all but stopped (yipee!) as did the associated nightmare symptoms, indeed it was the re-emergence of the old PMS that alerted me to the fact that I need a new one after four years...
Anyway, I've booked myself a day of torture for Thursday, getting my first wax done too.