My epidural didn't hurt at all, I didn't feel when he pricked me. The only thing I felt is when he cleaned my back before doing the epidural, it was so cold! But trust me, when your contractions get so strong and are coming every 2 minutes and last for about a minute, you won't mind a prick!!!
I would say it is so worth it... It makes the experience a lot more enjoyable. My contractions were so painful, once I got the epidural I was all smiles and really happy and chatty. I could feel the head crowning and feel the pressure when he was coming out, but it wasn't painful at all. I also tore, so I'm really happy I was numb down there !!!
The only negative point I found is when they empty your bladder (because you can't get up to go to the bathroom, nor get the feeling of having to pee. It's not really fun when they empty your bladder with a catheter into a little bowl (you don't feel anything, it's just a bit humiliating) but they make you feel comfortable about it.
Good luck! x
