With my first pregnancy, my midwife offered to check my cervix and even do a membrane sweep at my last appointment, which was at 38+6 weeks. I wasn't in any rush, so I declined. And then went into labor the next day anyway, and had him in the wee hours of the morning on 39+1.
For pregnancy #2, my midwife ended up doing a cervical check at 36 weeks to try and help her find the baby's position. She just could not figure it out for certain even with quite the lengthy palpitations, so she tried doing both. In the end, she still wasn't sure if he was head down or not, and considering I was going for a homebirth, we needed to know. I ended up getting an ultrasound a couple of days later (and he was, indeed, head down). I can't remember if it hurt or not... but I don't think it was comfortable, that's for sure.
Other than that, I've only had the checks in labor and didn't find them to be painful. Then again, I was already in pain, so maybe that's why! There weren't many — maybe three with DS #1? And definitely only one with DS #2, since she only made it twenty minutes before he came out. I'm planning to decline any checks prior to labor this time, too, unless necessary in some way.