Stainless steel and titanium are considered best for those sensitive to metal jewelry but plastic is a good alternative. Also stainless steel can cause irritation if you are VERY sensitive to nickel (and I mean REALLY sensitive).
Another thing that can cause a piercing to be rejected is lack of cleanliness. Clean your piercing thoroughly twice a day with a product that your piercer can recommend and remember to wash your hands before you touch your new piercing. And avoid playing with it, it can cause unnecessary irritation.
A tip I got from my piercer: Stick the nose under the water tap (lukewarm water) to wash the area where the piercing is and don't forget the inside! (it feels a bit uncomfortable but it works well, trust me, I have three nose piercings!) Then use the product.
Pain is different for everyone, one thing I learned from my favorite piercer is to breathe in through your nose when the needle goes into the skin and breathe out through the mouth when the needle goes out again. I have quite a number of piercings and this has worked very well for me, it helps the body relax (or maybe it's the brain that relaxes by having a job to do...). I'm afraid of needles as well so I know the feeling...
As for the jewelery get a labret at first 1.2 or 1.6 mm(it heals better than for example rings since those are curved and therefor "irritate" the new piercing)and take good care of it.
Bioplast is a gentler option and works well, there is also something called "surgical titanium with ART-techâ„¢ " I haven't tried this yet but it's supposed to work well and be gentle on your gum and teeth.
It normally takes 8-10 weeks to heal, after that you need a shorter labret or a ring if thats what you want. Many don't seem to know (or care) that when having piercing jewelry in lip or tongue that is to long it can cause more damage than one that is the right length.