For most people, it isn't a pleasant experience, but for most, it's also not a horrible experience.
It depends on how thorough an examination you get, though. I don't want to discourage you from getting a physical (it's really, really important) but the two above comments were not exactly correct about it being non-invasive. Don't let the term "invasive" frighten you, though. It simply means something enters the body. Two procedures you MUST have done are invasive, but relatively painless and quick. A digital rectal exam is necessary to check the prostate and a couple of other things (a bit undignified, but nothing to worry about.) Ask him to go ahead and do an occult blood check while doing the DRE.
The other invasive procedure is a blood panel, also extremely important but not painful. You should specifically ask for a baseline PSA (prostate specific antigen) test, in addition to the standard panel.
The other "undignified" exam would be the hernia test. The doc puts a couple of fingers behind your balls at the base of your scrotum; that's when he tells you to "turn & cough." All he is checking for is movement in your balls when your abdominal muscles contract.
Other than that, most of the exam is oral medical history and vital signs. Be absolutely honest in answering all questions, whether it's embarrassing or not.
It may not be the highlight of your life, but a physical exam is nothing to fear, and essential to protecting your health. Best of luck!