The aspects of acupuncture that Westerners feel most uncomfortable about is "needles" - their very existence, and "pain" - or fear thereof.
The needles we use are much, much thinner than those you would have encountered at clinics or hospitals. They are very supple and not hollow inside. I myself hate being pricked by the big medical needles at injections or blood tests, but that sensation is very different from acupuncture. Some acupuncture can be completely painless, though admittedly sometimes there is a little prick, but it usually immediately disappears.
Now, the pain... Let's start by saying that acupuncture has been extensively studied as a treatment for pain. Depending on many factors, you are likely to feel a sensation where your needles are doing their work. But it is not a sensation of "having a needle stuck in you" at all! It is most often a slight tingling, or warmth, or sometimes a dull ache. There is a separate word for this in Chinese: De Qi, and most Chinese people expect and enjoy those sensations when having acupuncture treatment. So in short: yes, you may feel something, possibly something you have not felt before, but it is not the pain that tells your body that something is wrong. Also, if for any reason you ever did feel uncomfortable, I will always be right by your side to adjust your treatment.