I have one implant (an upper molar on the right hand side). I love it - in fact that’s not really accurate because virtually all the time I’m not even aware of it. Which is the goal, right?
My experiences are as follows (YMMV as I believe there are slightly different methods)
Back story - I chipped the molar about six years ago which allowed decay to set in and a couple of years later I got an abscess and had a root canal done. That was fine for another couple of years but as is often the case the tooth was weakened and cracked right down the middle.
The dentist talked through the options - leave a gap (in retrospect probably would have been fine, and certainly cheaper, but I wasn’t keen), have a bridge (would require grinding down healthy teeth on either side), wear a denture (like my dad - no thanks!) or have an implant.
The implant was certainly expensive (about £3,000 all in all) but I’m glad I had it done.
Once they’d extracted the broken tooth I had to wait a while (I forget how long) for the gum to heal, then they drilled and set the titanium screw in the bone. This was fine and I had no pain at all. I’m not really squeamish about dental stuff - I like to be conscious and have the dentist tell me what he’s doing, as I find it interesting - so the only annoying part was that I had to be covered up with a green surgical sheet with just a hole for my mouth, so I couldn’t see what was going on. (It has to be done under sterile surgical conditions.)
The drilling was fine - a bit more heavy-duty than normal tooth drilling, but totally pain-free with just a local anaesthetic (lidocaine nerve block). The weirdest part was when the dentist inserted the screw and tightened it with a mini hex wrench 
They then put some kind of silicone-rubber style dressing over the area and gave me some painkillers to take for a few days, which I really didn’t need. There was the occasional slight throbbing but I certainly wouldn’t say it was painful. The screw is hollow (the pin that holds the implant screws into it), so while it’s knitting into the bone they put a little slot-head screw into it to keep it covered (which feels weird to your tongue once the dressing comes off!)
Then once the screw is knitted into the bone and the gum has healed around the screw they insert the metal pin. Then for another few weeks (I forget how long) you have the bare metal pin sticking up, which you have to be careful not to damage by biting down on anything.
Finally they attach the porcelain crown. Initially they wanted to use a “temporary” cement to attach it, so it could be removed if necessary, but the crown fell off after one or two days, so they decided to go straight for the permanent adhesive. That was 18 months ago and it’s been fine ever since.
For the first few days the crown felt noticeably “foreign” in my mouth, but soon it feels right at home. Running my tongue over my teeth now I can’t even tell which is the implant, it feels totally natural. There is absolutely no difference in sensation when biting, not a trace of pain or discomfort. No sensitivity either - of course there is no nerve so I don’t see how there could be!
The only slight annoyance is that obviously the crown sits “on top of” the gum, rather than protruding from it, which means there is a small gap underneath it where food can get caught. The gap has got smaller over time as the gum grows to fill it, but I still have to use a little interdental brush to “poke” debris out from the gap. That soon becomes part of the brushing routine, though.
Based on my experience, I’d be happy to have implants for all my teeth (if I were a millionaire!)