I had an internal at 39w5d as I was going to be induced and they wanted to see how my cervix was (I was 2-3cms). For me it was the midwife who just put some fingers up there and felt the cervix. There was pressure but no real pain, but that probably changes if you are feeling uptight or uncomfortable.
The midwife also stretched my cervix which involved her putting her fingers inside the cervix (again more pressure) and manualy stretching opening the cervix. This was a little uncomfortable, but again not really painful. I found the hardest thing was holding onto my bladder (tmi, sorry) with all the pressure.
I guess my advice would be to relax (I know it's hard) and let the Doc that you are nervous. And remember it brings you one step closer to seeing your beautiful baby. GOOD LUCK!!
Hayley, NSW, Liam 07/02, Beth 09/04, Nate 03/06