Everyone always thinks so, but it's not the clit itself, just the hood, which is also a lot thinner than other places you could get pierced.
I've said it before and I'll say it again, my ears are to date my most painful piercings.. they were done with a piercing gun which is like sheer blunt force to create the piercing, rather than with a sharp needle like other piercings. Obviously I can't speak for anyone else but even my nipple piercings weren't as bad as essentially having my ear hole-punched.