This is highly individual, but generally the answer would be where your bones are more superficial. More painful placements like this could be ribs, sternum, collar bone, elbows, kneecaps, fingers, shins and on the head/face. Also placements with thin delicate skin such as buttocks, knee folds, arm folds, armpits, inner thighs, around the nipple, throat, genitals and similar areas are normally quite painful. Though, time spent under the needle, daily conditions and state of mind do play a part here as well.
There are a lot of sites trying to answer the pain question when it comes to body parts, but I can assure you that you personally wouldn't always agree with all of them. See for example some
charts of pain or common opinions.