The TCM practitioner is often asked this question; the simple answer is: rarely. In most cases however, a sensation, felt by the patient, is desired; this sensation, which is not pain, is called deqi (pronounced dah-chee). Many patients report this sensation as pleasant and relaxing.
The needles used in acupuncture are extremely thin and several could be fitted inside the smallest hypodermic needle and still have lots of room to move around. They are so well engineered that in the skilled hands of your practitioner some patients are not even aware that they have had any needles inserted.
However, acupuncture is only one of the options open to a practitioner of TCM: there is acupressure, magnetic acutherapy, auricular acutherapy, Chinese herbs and dietary control among others; some acupuncturists also offer a Chinese full body massage - a most enervating experience for both relaxation and improved energy.