I had problems with mine getting infected. They took the first one out in the chair and depsite never having problems with needles generally, I had always had a phobia of having a needle in my gums. I have to say, I was in that much pain I didn't care and it was actually fine.
Never had anything done to my teeth before bar having plaque removed (32 and, touch wood, still not even a filling) so was more worked up about the needle but it was so much better than I expected and so worth it to be rid of the pain.
I had the other 3 out under a general in an NHS clinic though I had to wait a few months for a special appointment (I paid else it would have been 18 months or so), travel quite a way to a special clinic and have someone with me to take me home afterwards etc... I left the clinic not long after I'd had it done and came round and was a bit groggy but fine.
Mine were easier though I'd say as they were infected rather than impacted, the (rather lovely aussie) dentist who did the 3 under general said I was a week away from them impacting enough for them to have to be more "forceful" so was very lucky.