I just received a nifty thing in the mail. It's called an Epistick and you use it to remove facial hair. It's basically a spring wire with plastic handles. Those of you who remember the original Epilator will recognize how this works. You bend it and twist it as you work up your face.
It seems to do a fantastic job with little face hairs. I just zipped through one side of my face before posting this. Personally, I did not think it hurt. There was a slight pinching feeling, but that was it. These products are recommended for facial hair only. I don't know how it would work elsewhere. If you get one of these, I recommend giving it a good wipedown with alcohol. I do the same thing with razor blades before I use them.
I bought mine off of E-Bay for $2, but you can buy the 'official' version of this which is called Bellabe for $16.99.
Here is a great video demonstration I found of how it works. Very simple.