I only had two (the other two never came in) and it was terrible.
I got them out at the dentist, he broke out the pliers. He injected my jaw with enough novacaine (sp?) to kill a horse. It's a good shot where he sticks it in nice and far and then grabbs your cheek with his hand and yanks it around while injecting. Very nice.
Then, after my jaw was numb he went in with basically a pair of pliers and twisted my tooth from side to side. It had to fight to keep my head from being torqued. After a little while of twisting I could feel the tooth bend more than my head was. After some more disgusting bending it came out. I could see my tooth and the blood reflected in the dentist's goggles.
Then he did the other tooth likewise. No pain during the procedure but I did pass out afterward when I tried to get up. Yes that's right I passed out (I don't like blood).
So the procedure was terrible.
The next day or so was spent just trying not to swallow blood. I packed gause (sp?) into the holes to catch the blood, but its hard not to get it on your pillow when you sleep. The pain wasn't bad. I think I was on pain medicine for the first day or two, I don't remember very well.
Once it stopped bleeding and aching (I think it was like 4 days), I was fine.
I'd recommend getting them surgically removed before they come in. That way they won't move your other teeth around and you won't have to deal with your dentist yanking them out. I've heard that some people have a very easy time of it when they're removed surgically. My sister, on the other hand, has problems with anistesia (sp?) so she threw up first thing after having them out - I suppose that calls for a gause replacement.
Anyway have fun. Sometimes it's a nightmare, other times it's cake.
Edit: I didn't get infections in the holes, but then again, I didn't eat scrambled eggs right afterward either. It was pretty much icecream and oatmeal for two days.