I don't think it's a matter of being painful necessarily (though it might be, depending on what they do), but rather most people just don't want to be awake for what is at best a socially awkward experience. I've had several, and I'm grateful to have been unconscious. (They had to wheel me back in once without sedation to take another look around a biopsy site to make sure I wasn't bleeding too much. It was kind of interesting, but not terribly pleasant.)