I am an RN and I work in the office of two Asthma/Allergy physicians. We do this testing many times a day. I was actually a patient here before I began working, and I had this testing done about a year ago on my own skin.
Different doctors do it different ways, but for our environmental allergen testing we use what is called the multi-test applicator system. Our environmental allergen test is for 64 different things - various trees, weeds, grasses, molds, household allergens (e.g. dustmites), dogs, cats, rabbits, etc. The food test is done less often, but in the same way. It also tests for around 60 things.
Each multi-test applicator has 8 plastic prongs on it - so if we are testing for 64 different things we use 8 of these applicators ( 8 x 8 = 64). Each prong is dipped into a different allergen liquid, but all 8 of the prongs on one applicator are pressed to the skin at the same time. The prongs are each about 1/8 inch in diameter, and the end of each prong has multiple sharp plastic points on it - enough so that when pressed to the person's skin, the prong penetrates enough so that the skin will react if indeed the person is allergic. Normally the penetration is not even enough to cause any bleeding, and if it does it is so little blood that it is nearly inperceptible.
The plastic prong applicator is NOT left on the back. After the test is applied (which only takes about a minute - the 8 applicators are pressed on and off immediately after each other), the only thing left on the person's back is a bunch of little wet-looking spots where the applicator pushed on the skin. The person lies there without scratching for 15 minutes, then the doctor comes in to see how the skin has reacted. A reaction is indicated if the skin develops a mosquito bite-like bump. The doctor ranks the each of the 64 spots of 0-4 (with 4 being the greatest reaction). That determination determines what will go into the person's allergy shot serum if they do indeed need allergy shots. It also lets people know what they might need to avoid.
I won't lie - the test doesn't feel good. It is not horrible, but it is definitely not completely "painless". However, the painful part lasts VERY briefly - about a minute - just while we press the applicators onto the back. The only other uncomfortable thing may be the itching (which you can't scratch) if you do react.
It kind of depends on how you handle pain. Most children under 10 cry, but some just lie there and do fine (even though it is kind of hurting). Most adults handle it as they would any other slightly painful thing, but I've also had some who seem WAY sensitive to ANY pain, and they flinch a little or maybe say "ouch".
It will be worth it to find out if allergies are the problem. My allergies are way better now than before I found out what exactly I was allergic to and started my treatment regimen.