questions about IUD

are there any side effects of an IUD that I should be concerned about? I hear that it's the most effective kind of birth control but I've seen a lot of bad stuff going on with the kind that gets implanted in your arm and also it looks (and I've been told) it's super painful, and a friend of mine has still had the pain of it in her arm for a few weeks now. and I know every person is different but I've known some who have gotten it stuck in their muscle and i thought I was going to pass out. I'm a baby when it comes to pain so does an IUD hurt? the idea of it having to be implanted freaks me a little. would you recommend it over the pill?