I don't receive pain very often because I'm always the dominant in my dynamic but when I was younger and introduced to BDSM, and then when I trained to be a domme, hot wax was by far my favorite kind of pain. And we weren't using paraffin massage candles that melted at lower 'body safe' temperatures...just plain tapers. It's definitely a higher level of pain but if heat/burn pain is what you're into, it's a blast. There's something very sensual, at least to me, about something that begins at such a high level of pain and then goes from hot to warm, warm to room temperature...it's like it's a self soothing torture.