Nose piercing, as a rule, is quite painful indeed. While men and women have been piercing body parts for centuries, it has never been claimed that piercing certain parts is free of pain, especially an area as sensitive as the nose.
The nose is a thicker part than some places that are pierced and has more nerves too. Ear lobes can be a bit thick but they don't have a lot of nerve receptors in them which denote pain. Nostrils, however, are loaded with them. If you are getting your nose pierced, just know that it probably will be painful. You can attempt to deaden it a bit which may help and also, seek a technique of piercing that is quick, unlike doing it yourself with a needle.