I can't speak about BCG since I didn't have it, but I can say that after 8½ years of having instruments shoved up my penis into my bladder it doesn't seem quite the big deal it was the first few times. Anxiety is a large part of pain. Aside from the numbing gel, if you can't relax you might consider asking your doctor for a prescription for Xanax or Valium to take on the day of the cystoscopy. You will always dislike cystoscopies (including the anxiety that something might be found) but you will get used to them.
-Warren
TaG3 + CIS 12/2000. TURB + Mitomycin C (No BCG)
Urethral stricture, urethroplasty 10/2009
CIS 11/2010 treated with BCG. CIS 5/2012 treated with BCG/interferon
T1G3 1/2013. Radical Cystectomy 3/5/2013, No invasive cancer. CIS in right ureter.
Incontinent. AUS implant 2/2014. AUS explant 5/2014
Pediatrician