I, unfortunately, had to have one done. I won't beat around the bush, it hurt like H-E-double hockey sticks!! Mine was done on the left side of my lower back, right near the tushie. What they do (this is coming from my DH, who was in the room with me) is they make a small incision. Then, they keep giving you injections of lidocaine so you can't feel what is going on. They would start working, and if I told them I could feel something, they would give another injection of lidocaine. Apparently, they were cutting with a razor to see if I could feel it. Once they get where they need to be, they start drilling. Feels like a corkscrew sensation. The absolute worst part, where I actually screamed, was when they actually suck out the bone marrow. It is due to the negative pressure in the bone, and it hurts terribly. I had to keep it covered for a few days, and eventually the pain went away, however, I have said if I ever need another, I will need to be put under for them to do it.
Good luck with it! If I may ask, what are you having it done for?