Both the hood piercing and the triangle piercing are sometimes incorrectly called a clit piercing, but they're all different (if only by milimeters) — the hood piercing passes through the clitoral hood above the clitoris and the triangle piercing passes through the clitoral hood below the clitoris, while the clit piercing passes through the clitoris itself. Often when you meet someone who says she has a clit piercing, she actually has her hood pierced, and if you walk into most piercing studios and ask for a clit piercing, they'll ask you several times to make sure you don't actually want a hood piercing. This mixup is somewhat due to the number of women who are ill-equipped to have their clitorides pierced; as with all female genital piercings, not all women have the anatomy for a clit piercing. The clitoral hood must not obstruct the jewelry, and the clitoris must be relatively large and prominent to ensure no nerve damage by the piercing; a rule of thumb is the clitoris must be at least ¼ inch wide.
The pain has been described as ranging from "not unbearable" to "a surge of white pain," but it's over in a second, and afterwards you get a nice floaty feeling because of all the endorphins. Women who have given birth say that the piercing is nothing in comparison.
The piercing process is not an intuitively easy one, so you should only be pierced by a professional and one who has done lots of female genital piercing before. The studio should have a chair designed for female genital piercing (it will have stirrups). The piercer will mark the entrance and exit holes, place forceps on the clitoris (the most uncomfortable part), hold the needle to the entrance hole and a recieving tube to the exit hole, and tell the piercee to take a deep breath. When she breathes out, the needle goes through. It is usually pierced around 16 or 14 gauge — any smaller and there is a much higher risk of migration/rejection, not to mention nasty accidents: see cheese cutter.
This piercing has one of the shortest healing periods of genital piercings — 6–8 weeks. Sex of any kind must be avoided until about 4 weeks after the piercing (including masturbation), and bacteria hangouts (dirty hands, swimming pools, etc.) are to be avoided until 6–8 weeks after the piercing.
An incorrectly done clit piercing (or piercing a clitoris that is not large enough) has a high risk of damaging the nerves of the clitoris. The shaft of the clitoris holds the dorsal nerve which is responsible for carrying the sensations of the clitoris; if the needle passes through this there is a good chance almost all feeling in the clitoris will be lost, and has the bonus of excessive bleeding. If the clitoris is too small, the chances of hitting the shaft and dorsal nerve are greatly increased.
Death is definitely not a risk when getting a clit piercing, unless your piercer is trying to kill you. This is a somewhat common misconception about the piercing, and I have no idea where it comes from.
No sex for 4 weeks! Chances of losing all feeling! Excessive bleeding! What's the point?
When done right, a clit piercing has the benefit of greatly increasing the sensitivity of the clitoris. Some women say they've almost climaxed while riding on a bus, because of all the low vibrations that resonate through the structure of the bus. One woman said that right after getting the piercing, simply crossing her legs brought a smile to her face. If you're smart about who pierces you (find a clean studio with a professional, experienced staff), you probably won't even bleed.
No personal experience in this one — quotes and women's opinions paraphrased from BME's collection of piercing experiences.