Blackstar saidI've had both of mine pierced. One had 2 rings. Got rid of them because
they never healed up correctly. According to several piercers I know...
I'm one of the people that don't take piercings there very well.
( I have others and I love em ! ) So...I took em out.
Sucks cuz before I got em done my nips were pretty sensitive.
Now you'd have to put an angry croc on em for me to feel anything.
Yep yep. It turns out I have an allergy to the nickel found in most body jewelery. It took two times on the nipples and an industrial to figure this out though.
Also, some peoples bodies just can't handle healing piercings. Unless you've been able to heal up other body piercings I'd be leery of getting these done as your first one. Maybe do something like your ears first to test the waters.
Aside from that... your questions:
1) Do a quick Google search. About.com has some good articles about body piercings, and there are TONS of resources out there just a few clicks away.
2) Yes. It hurts. A lot. Don't expect to be up and running around for a few hours after getting them done. You're basically paying to have someone slice a hole in your body, and then fill it up with a foreign object.
3) The best way to do it? Go to a piercing/tattoo shop. Talk to the piercer. Check out where they do their work, and make sure they're very sanitary. Nipple infections suck.
4) The best style is up to you. You have three choices of jewelry when you get it done.
The first is a CBR or captive bead ring. These are the full circle rings with one ball at the bottom. The ball is held there with tension from the ring.
The second is a horseshoe ring. This is the 3/4 ring with a gap and two balls screwed onto the ends of the ring.
The third, and what my friends tell me is the easiest and fastest to heal, is a barbell. Just like in the gym, its a bar with two ends. They have two balls on the end to keep it from coming out. The benefit from this is that it's much harder to have them bumped around, so the new skin trying to form around the jewelry has an easier time forming.
They usually take anywhere from six months to a year to heal enough to change the jewelry, and usually another six months to another year after that until they're totally healed up. They're an investment, trust, and they usually don't come cheap either (I paid &35 for my first nipple, the second time I dropped $60 to get them both done.