I have several piercings, and an AWESOME professional piercer.
The biggest difference in these piercings will be with healing after the fact: how inconvenient is it going to be to keep pressure off of those spots? I found the helix to be the most troublesome...it gets caught on things, bonked by the phone, and pressed against the side of your skull when you sleep.
My tragus really hardly hurt at all, but I -could- hear the cartilege pop when the needle went through.
The biggest factor in the pain level of the piercing is simply the level of expertise of the piercer. Seriously, take my word on this: it is so very worth whatever they charge, and however long you have to wait, to have a really good professional piercer do your work rather than getting a substandard piercing. Soooo many of those problems with pain, scarring, infection, etc can be completely avoided by finding a responsible professional who uses good equipment and aseptic surgical technique.
Check out:
http://www.piercing.org/pexy/index.htm for great info. This is the shop I go to, and though i no longer live in Atlanta I will drive several hours to get to this place rather than go to a jewelry store or even a tattoo parlour.
Congrats on your new piercing, and maybe your new addiction!