Based on trying many originals and knockoffs over the last years, this is my summary of experiences regarding pain. I cover only ball trapping cages here.
1. Poor finishing: This is a major issue with several of the knockoffs. If you can feel a ridge on any part that is going to be in contact with your body, it WILL create irritation. How bad it is depends on the body part, the pressure and the length of the wear.
2. Sensitive skin: Let us face it, some of the skin in contact with your chastity lock is pretty darn sensitive. If you lubricate the contact areas, the lube itself may have some mild irritant (like perfume) in it and may actually increase the irritation. Soap residue is REALLY bad. Even mild soaps can be enough to cause an irritation. Make sure you rinse very properly after washing. The only lubricant that I have not had any reaction to is good ol' water-free Vaseline.
3. Erections: The first rules of avoiding painful erections are mentioned in 1 and 2 above. However: When your penis pushes the tube out, you will stretch your ball sack, and the bottom of it will be stretched more than the rest. This creates an unpleasant but not damaging sore point (unless you are in a cheap knockoff with sharp ridges). The pain usually goes away when the erection goes down. Cold showers work well for this.
4. Unusual stuff hanging from your most sensitive parts: All the pains will eventually - unless you break the skin - subside. You toughen up. It hurts less. But this takes time and does involve some pain in the process. By time I mean at least a week or two - sometimes a month or two. While you get used to things, you must bear the pain. It is easier if someone holds your keys - takes away your choice in the matter. Just remember: If erections hurt - you ARE in a chastity device. You can consider the pain as punishment for thinking "impure thoughts" - if that helps.
5. Wrongly sized and/or shaped ring: People go for smaller rings to prevent pull-out. That is not always the smartest thing to do. A too tight ring WILL cause pain, and may even (worse) reduce or cut off blood supply to your balls. You don't want that to happen unless you are looking to castrate yourself. The ring should fit around your balls and confirm to your anatomical shape. That means curves and not straight sides. It means no bottom hinges that pinch or dig into your scrotum. But even more importantly: What matters most for most men is really the distance between the lowest point of the penis tube and the top inner point of the ring. I have slept with Cobra style (knockoffs) chastity devices and have had my cage fall off while I was asleep. This happens when this critical distance is too large and/or the cage has flexibility allowing it to be bent out. The Holy Trainer (especially the V4) has a very low clearance here while still allowing enough space to maintain circulation. It is the device I ended up with. It works for me.
6. Penis tube size/length: The more erect you get in the cage, the more it places strain on the bottom of your ball sack. Some handle this by having extremely short cages. For me that sort of worked, I no longer got pains in the bottom of my ball sack, but I got pains in my penis instead. And no amounts of Vaseline helped against that pain. So yeah - you need to find what works for you. Some of us needs to be allowed some expansion to avoid pain. Several of the devices offers different sizes of penis tubes. Experiment to find what suits you. If you go for knockoffs, you should really use a fine sand paper (wet paper) to make sure you sand out any sharp edges.
In summary: One size does not fit all. Penises are very different apart from the obvious matter of size. Some expand mostly in length, some mostly in thickness, some in both. Some point up, down, out or to a side. Some have a large head, some have a small one. Some are circumcised, some are not. Some are straight, some are bent. Some are very sensitive, some are less so. You need to find what suits you.
Most men can achieve excellent security with the right ball trapping cage. The ball trappers also offers some great benefits, like they can be non-metallic, they are lightweight, they can be hidden under clothing and they really don't restrict movement (that much). However, If you want the absolutely most secure solution - go for a frenum or PA piercing with a matching tube or for a full chastity belt. If you chose the later - that is a totally different story, one I may get back to. And yes, I have a Carrara Concept belt - extremely secure - and you can even sun bathe in it without really showing up any "naughty parts".
I hope this can be of help to newcomers in this wonderful chastity fetish world.
Kindly