I got my ears pierced twice by guns, when I was 5 and when I was 12. They didn't get infected and I can't remember if they hurt or not. But I have known heaps of people who got pierced with a gun and they had a lot of trouble with them, so I think I was just lucky in that respect.
I regards to the nose thing, I would recommend going to a piercer and getting it done with a needle. I had issues with my nose ring where it got infected a lot, so I took it out to let it heal and got it repierced properly after a year or two. The lady who pierced me was really nice, and while I just wanted it where it used to be, she suggested changing the position a bit to help the jewellery sit better. Needles mean the piercer will have more control over where the hole will be, so it will be better in terms of looks. Pain-wise it isn't that bad. There is a very short, sharp pain that makes your eyes water like hell, but then it's over. I don't know if that was because mine was over scar tissue, but I think it is a general thing, as the lady said something along those lines would happen. After that it was just throbby, but nothing bad; I went out to a concert a few hours later. My nose also bled a fair bit, but that is just me; a different piercer was a bit surprised at how red my nose went when she took my stud out to alter it a bit, so it is probably not the norm.