My husband just had one yesterday as an outpatient. I would agree, make sure they use loads of local anesthetic...
My husband had his first one while in the hospital....when he was diagnosed. When he came back to the room, he had started to bruise, and I do believe it is because they did not hold pressure on the site. However, yesterday he did fine. The doctor did a great job of deadening the are with the local....and then he did the biopsy. He held pressure on the site for a number of minutes and then had my husband stay on his back in a position that would continue adding pressure to the bone and the site. He had no oozing from the site and he had no pain from it.
I do believe that it is the experience of the doctor that can make this tolerable or not. Our doctor was great....and as I sat and watched the procedure being done, I knew he had much experience in doing it. He made sure that my husband was fully deadened, and also helped him during the times when there could have been pressure (or pain). The pressure was felt but there was no pain to speak of.
I had asked if my husband wanted some anti-anxiety meds before we went, but he did totally fine without them. Me...well, I would have either had a beer or taken the meds, as I am more of a chicken than him.
Best of luck to you on this adventure. AMW