First of all, despite what you may have heard, the actual exam is very short, probably less than 15 minutes. The part that can be a little uncomfortable is the Pap test, but it shouldn't be painful. The first time, an annual exam might be a little embarrassing since you've never done it before. But if you go to someone who helps you feel comfortable, and some who's easy to talk to and is sensitive to your needs, it becomes easier every time. If it's your first time, tell them that, too.
Annual exams are an important way women can take care of their reproductive health.
This is your opportunity to discuss medical problems, birth control options, sexual concerns, and any other personal issues you may have. Most women need only one exam a year if they're healthy. Take care of yourself.