I'm sorry to actually be able to answer this question. I've had 2 EMGs (also with the nerve conduction test). The nerve conduction is uncomfortable, but I found the EMG to be a lot more so. Of course, I had an idot doctor, so that might have something to do with it. OTOH, it was a bad time for me all around, I was basically losing the ability to walk, so that might have clouded my experience as well.
They basically take a longish needle and place it in certain areas of your limbs and then put a small amount of electricity through it and "catch" it on the other end. They're basically measuring how much electricity it takes to get your muscles to do certain things.
(The nerve conduction just involves electrodes on the surface of your skin).
If you're going to have it done, take someone with you to hold their hand (if that sort of thing helps you) and remember that it doesn't last forever, only about 30 minutes. Even as bad as I remember it, I'd do it again just so I would know what was wrong with me.
Good luck (and sorry if I scared you...)