I had my face threaded yesterday and just thought I'd let y'all know how it was (in case anyone was considering it). If you don't know what I'm talking about, here is a link:
http://www.mochasofa.ca/fashion/prog.../02july22a.asp
I went to a place that the Houston Chronicle said was the best threading salon in town (it was a little bitty hidden salon in the Indian part of town). It was very interesting... it did hurt, moreso in some places (upper lip, sideburns), but sometimes it felt kind of good (probably in the places where there was no hair, lol). The thread broke a lot and would sometimes grab a piece of my (head) hair, which hurt. Basically, it wasn't anymore traumatic than waxing, just a bit slower (but still pretty fast, it took about 15 minutes).
The main problem I had with it was that it missed a lot of hairs. I understand that because I tweeze there are hairs that can be seen if you look closely but are still below the skin (she even told me to let my hair grow and not tweeze and then come back). But there were little patches that were left on the sideburns and quite a few hairs missed on the chin which I, of course, tweezed when I got home (I can't help it!) It just didn't give me a clean face like waxing does.
So anyway, my advice is to stick to waxing unless it really hurts your sensitive skin, then you might want to try threading. Hope this helps answer someone's questions!