Several reasons. One, they’re sticking a metal thing in there, and that can be painful, especially if they don’t use enough lube. I remind them to use a lot. :) Two, you may be having a lot of anxiety and tightening up (I know I do!) so that makes it harder for them to insert the thing–hence, they tell you to take breaths and try to relax. Also, I always try to go to a woman gynecologist. I’m more comfortable with someone who knows what it’s like and they’re usually much nicer, so that helps.