I didn't get my ears pierced until my 11th birthday and I remember it to this day! It hurt like hell (can I say that here??)!!
For that exact reason I had my two daughters' ears pierced when they were babies. Yes, they cried for a second but it's mostly just a startle reaction, I think. They are 10 and 12 years old now and still almost exclusively wear the "piercing earrings" that kinda lock on. There's just a much smaller chance of the earrings coming out and getting lost that way and with these, they can sleep in them and not have to worry about it. They do occasionally change them to something different but usually just wear their "every day ones" (they are little cz's). I think piercing them at such a young age kept them from messing with them and I also had no problems with them pulling on other women's earrings when they were being held. Maybe it was because the fascination of something different wasn't there since they had them too... I don't know.
I also did the ice cube and needle thing to put a second hole in just my left ear when I was about 13 and my parents pitched a fit! I can actually still put an earring in it now but don't. I'm not sure what I will do if one of my girls comes to me wanting to pierce something else one day.