The most common 'female' piercings are called a VCH or HCH. Vertical/Horizontal Clitoral Hood.
But, I *cough* am qualified to answer about the female anatomy piercing as well. It is very painful, but it is a quick, sharp pain that goes away quickly. It also is the fastest healing piercing you can get, so within a week or two it is all healed. After that, there is no pain. As for desensitization - it's not actually going through anything 'important'. It goes through the hood above the clit. So the sensitivity of you clit is in no way impacted. It can, however, cause stimulation by rubbing against it.