I have and I hated it. First- you have to grow out some armpit hair. That is gross and it makes you have more BO. Also on the day you go you can't wear deoderant Second- maybe it was just me- but I was nervous and so I was sweating. Wax doesn't stick to sweat and my estitician was getting annoyed with me and told me to stop sweating. Like I can turn it off? Third- I wasn't happy with the results. It grew back faster than I expected, much less result than waxing your bikini or legs.
The pain was really nothing, not as bad as a bikini wax.
I've done it before! I used to go on a regular basis until I lost my job and it's no longer really something I want to spend money on. I actually tweeze instead now (no, it doesn't hurt!).
Anywho, in comparison to a bikini wax, it hurts less definitely. The regrowth stage isn't fun at all, like Metric said, but honestly, I still liked waxing. My hair is super dark and shaving would always give me a 5 o'clock shadow, which wasn't cute. So I'd still prefer waxing to shaving!
I've also done it. Like Carrie, my pit hair is dark enough that I constantly feel like there is a shadow with shaving. So I like waxing better even with growing out time. I do think it is more painful than a bikini wax. However, I might be a freak of nature - I get brazilians and I don't find them painful at all.